How do you get XM Radio to stream on the Mac?

It gives me a link but doesn't download anything.

Depends on what format they use for streaming. Nothing is going to be offered for download because their site goes 'not Microsoft' so it doesn't bother to 'help you out' so to speak.

I used to stream other radio stations on my Mac using iTunes with their mp3 stream, then later when their iTunes compatible streams went lower quality I was able to use Flip4Mac enabled Quicktime to stream their 128kbps Windows Media stream. That's probably your best bet. Download Flip4Mac, install it, fire up Quicktime and stick the link they provide into QT's URL interface. It'll either start playing or inform you that it doesn't know how to deal with that media. Beyond that, we'll need a bit more information on how XM does it's media streams.

I stream XM through their website on my MB. There is a plugin you need and it will tell you when you try to log in on a Mac. If not, search the help files and it will tell you. But once the plugin is installed, it works great!

Note: I've been using Safari instead of Firefox lately and can report that XM's streaming audio seems to run better through Safari!