One way of getting around this is actually getting a program called Parallels Desktop. Basically what it does is create a partition on your computer than runs on windows. Or if you have the new Mac OS Leopard (i think it is) then they have got a new program called boot camp which they added which is the exact same thing.
Once you've got one of these running then you can install
WoW and your programs with .exe as you are essentially running on windows. I personally haven't fully used it but i'm guessing that it could be slow but its worth a try!