I do know (based on reports) that Intel-based Mac + VMWare + Windows (XP/2000) work with prior versions of WinXX. There's no reason why Win500 wouldn't also work. About the only potential problem would be getting the cable's drivers installed (since this is a "new" cable that's required for the PSR-500).
Do the LEDs on the cable's housing blink? Does the scanner indicate that anything is happening?
If "no", then it sounds like the COM port selection in Win500 isn't correct. I don't have a Mac, so I wouldn't know how to remedy the problem. In a pure Windows environment, I'd say to look in Device Manager, to see how Windows assigned the COM port to the cable/driver.
I installed the GRE USB cable drivers from the CD that came with my PSR500, then installed Win500. Win500 defaulted to Com 9, so I had to change it to Com 4. After that it read the radio and wrote it just fine and dandy.
I have a MacBook Pro 2.33 GHz with 2 GB RAM using Fusion 1.1.1