Will this work with a Mac
In theory, it should, as there is a Windows Media Player for Mac. I have found that WMP for Mac does not play every codec that WMP for Windows does -- but you would think that it would play WMA.
The other thing that would concern me about this service is that the WMA files are rights managed. So, unlike files you rip from a CD, you won't be able to play these files on a device that doesn't support WMA. There may be additional restrictions on the ability to copy the files to a second HDD.

