Here's how I got Bloomberg Radio working on my Mac. First, download and install both Windows Media Player for Mac OSX and Flip4Mac from this page on Microsoft's site. Then create the following file, and name it Bloomberg_Radio.asf:
Save the file, quit the editor, and then double-click the saved file -- you should soon be listening to Bloomberg Radio.Mac OS X Hints
http://hints.macworld.com/article.php?story=20080702201508351