I have been through this whole process recently.
Here's what I learned:
The cable is not a big problem.  You need a hardware-handshaking modem
cable.  NOT a null modem cable, or a serial printer cable, the wires are
connected differently.
Ideally, you want the correct connectors already on each end, (Mac serial
<-> pc 9-pin serial), but those are VERY hard to find. (Global Village made
some for some of their modems)
I bought a Mac serial to 25-pin Pc serial handshaking modem cable, and then
a PC 25-pin to 9-pin plug adapter.  It's ugly, but it works perfectly.
The next problem is the software.  You may have better luck with
SoftWindows, but I tried to run MPLab under VirtualPC, and while the
software ran well, and assembled correctly, it does not communicate with
the serial port accurately.  I verifed this with Connectix, and they
acknowledged bugs in their serial code that they were trying to fix in
V2.0.  It currently either fails, or programs pics incorrectly.

A much better solution is to use MacPic, shareware available from:
http://www.srv.net/~kxc/MacPIC.html
It supports the entire pic line and is well supported.  It is a heck of a
lot easier to use than MPLab too.

If you have any other questions about programming Pics from a Mac, drop me
a note.

Dan