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I've never had a problem using any USB DVD drives with my MacBook Pro. Should work just fine on an Air as well.
 
How does that work exactly?

1. Find your USB cable that connects the DVD Drive to the computer.
2. Insert the USB cable into the DVD Drive as well as computer.
2a. The USB cable doesn't go where the DVD goes.
3. More than likely, your Apple computer will recognize the drive, if not, go to the manufacturer's (of the DVD drive) website and download the drivers.
4. Insert Disk into the DVD player.
5. Win

TL;DR Connect and put dvd in.
 
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