it ain't anything inherent to macs, man.
Am on Mac OS 9.2 and have no problems with playability. iTunes (free download from Apple) or Quicktime plays anything i download, but then i only download audio files usually mpeg or mp3. Files launch automatically from Limewire. Quicktime Mpegs can be converted to Mp3s playable in iTunes by simply choosing "convert to mp3" in iTunes and dragging the file to it. I wonder if your Mac, your OS version, and your Quicktime are up to date. These are all available free downloads from Apple.com. Windows Media Player is available as a free Mac download too (check www.macTopia.com), but i just convert anything weird to iTunes cuz it's so easy and puts everything in one player (in iTunes, choose Convert to MP3 from the Advanced menu). If not possible to update (like if it's too old a mac), i echo the other's recommendations- checking the "file helper applications" settings in Internet Control Panel and/or importing- open the program you think should open it, then choose "open" from the File menu and navigate to the file you want to open. Look for "import" and "convert" commands too.