I've been using a Three mobile dongle at home for the past year, and the first thing it tries to run is some software from the dongle (which appears as a CD, so it is read-only and cannot be changed by user).
That software does install some driver(s) and a "Three connect" application (which interacts with the dongle and the network to allow receipt/send of SMS, such as texts from Three saying a new invoice is online, each month.
Also, whenever I've used a different PC (sometimes change if one is running linux, for example, instead of Windows XP), then there's usually a "new software" download as the first thing which happens once the "Three connect" is connected.
I must admit to not having looked in close detail at the Three (or any other) websites regarding them stating that Windows is needed, or whether Mac OS X is supported, but if you've had yours open for less than a few days, I'd return get on the phone to them and return it ASAP for a full refund, unless you have some web link which suggests your particular machine is supported.
They have done some other gizmos, such as sharing the Three connection via wi-fi (which should easily support Mac, Windows, iPhones and mobiles, linux, etc, etc - anything which can handle 802.11)
Sorry if this appears as "bad news", and I hope I'm wrong about whether it supports your Mac, but as there is a very short "acceptance" period, I'd suggest sending it back, or visiting a Three shop if there is one near you, and getting assistance from them.
Admittedly, on XP, it also sets up a "connectoid" which is like a dial-up facility for a normal (old style 56k) modem, and I have found that is more reliable than the "Three Connect" software (which sometimes reports "no network" even when the dial-up method connects easily)...