The package claims it works with Windows 2000, XP, and XP64. I would think it would work with a Mac as well, although probably not in the "FPS" mode. Mine did not come with any software, but Windows recognized it right away and I can see all the buttons in the Control Panel. I assume the special software for FPS mode must be a download from saitek, but I don't think I'll be using it anyways.
My PS3 recognized it as well, and I was able to use it to navigate the PS3 menus and I played a little bit of a game demo with it. The d-pad doesn't translate quite right, and I didn't fully test the right analog stick, but everything else seemed to work.