Notice how it tells you not to use the CD if your using a Mac, quite a good indication that it's not required. I plugged the O2 box in as soon as it arrived and configured everything via the web interface, took only a few minutes. I also logged in as the SuperUser and created an account for myself with SuperUser credentials and then changed all the default passwords, which is a good idea in case anything tried to get into the box from the browser.
For the wireless config, change the SSID to something other than the default and then make sure you are using WPA as a miniumum with some random password string from somewhere like
www.grc.com/passwords. WEP, SSID Hiding, and MAC Filtering are all worthless if you want to protect your network these days.