I've used Fusion (by VMware) for years and it works flawlessly. It sounds like the user who was asking the compatibility questions must be using Boot Camp which is a feature of Mac OSX. It comes with the machine so no extra software is needed, except for the Windows license which is needed regardless.
The disadvantage of Boot Camp is that you have to choose which O/S you want to use and then reboot to run the other one. Products like Fusion allow you to run both simultaneously and switch between applications anytime. I recently discovered a feature of Fusion called Unity mode that keeps the virtual machine running at all times and allows me to access Windows applications from a drop down menu in the toolbar at the top. What a convenience!! Before I would suspend and restart the virtual machine every time. While not as much effort as having to reboot, it still took longer. If you are a Fusion user, check out the Unity mode.
I have also never had a virus on either O/S but when I used to use a PC, I always used virus software. I don't connect to the Internet from my unprotected Windows partition (except for the automatic Windows updates). I don't use virus software on my Mac and have not had any problems (knock on wood). It's not that viruses are impossible on Macs, they are just much harder to create and less common - with less people to wreak havoc on, viruses are just not as much "fun" as they are for Windows where they get widespread attention in the media.
Embroidery designs are "compatible" with Mac in that you can download them to a Mac and they work fine when you load then to your machine. A file is a file and as long as you are not trying to open it on the Mac side without some other product, you're fine to download and store them there. That hasn't always been the case but OSX has excellent compatibility at the file level. In fact Microsoft Office files can be moved back and forth and opened by Office for Mac or by the Apple office suite iWork. Functions and features vary but the files can be opened easily. But I digress...
Thanks for the link to Embrillance Thumbnailer, Pattiann. I just recently got this product and I can't say enough! It doesn't allow you to open or edit designs on the Mac side but it does let you view a realistic preview of the design in your Finder window and enlarge it using the Quick Look button. So you can browse and preview your designs to decide which you want to open with the application on the Windows side or just copy to a flash drive to load to your machine. Now if your machine requires a proprietary card to read designs, you will still have to copy them to the card on the Windows side using your embroidery software but if you can load designs from a USB drive, you can copy to the drive right from Finder.
I would highly recommend both products. Neither has a hefty price tag and they make it easier to capitalize on the investment you've made in a product like PE-Design. Here's the address for the VMware site where you can download a free trial of Fusion:
http://www.vmware.com/products/fusion/