Many files will work straight away on your Mac. For example, most image, audio and video files will open in the appropriate program on your Mac. However, Windows Media files will only work from an adaptor program such as the free Flip4Mac. (There are a range of paid versions available, but the free player is downloadable from http://www.microsoft.com/mac/products/flip4mac.mspx),
If you have many documents created in Microsoft Office, there are several options. If you have Apple’s iWork suite, you should be able to open Office files. Another option is to buy the Mac edition of Microsoft Office. You should also find Office files work in most free open source office software on the Mac such as OpenOffice, though conversion may not always be perfect.