Check your file assoications. I'm not sure how that's done on macs. Also, you cannot listen to the live stream using iTunes, you need windows media player.
Once you've installed windows media player for the MAC then click the links agian. If they fail to open then open the player manually and paste this URL using | File | Open URL ...|
http://cyberjamz.com/live.asx
Here's the info link for MAC's
http://bbs.cyberjamz.com/showthread.php?t=853