AFAIK, Microsoft prohibits DRM aka 'protected' WMA files from playing under any OS but Windows. But you can still play them on your Mac hardware using an emulated Windows environment, such as
http://www.vmware.com/products/fusion or
http://www.parallels.com (or even by booting into a Windows partition using Apple's Boot Camp.)
For example, my public library uses the OverDrive Media Console software to deliver audio books in DRM-protected WMA format. I play still play these DRM-protected WMA format files on my MacBook, as long as I run the OverDrive Media Console software under Windows XP using VMWare Fusion.
Depending on the specific Audio book license, OverDrive Media Console's webpage says WMA content can also be transferred to portable players, including iPods. This would need to be done from within the Windows environment. The requirements seem onerous:
http://www.overdrive.com/software/omc/accessibility.asp#transfer-win-apple
including formatting the iPod for Windows, and so I have not yet tried it.