not all add-ins are necessarily designed for Mac. In my experience (with MegaStat), the add-in did work, but it was some what buggy and you had to jump through a few hoops to get there (I think you had to "install" it into Excel each time you wanted to use it.
As nadyne said, I can't speak for all add-ins, they all vary tremendously.
After taking a quick look at the link you gave, it looks like this is very much so designed for Windows. Perhaps you could unzip the .exe on a PC or in Parallels/VMWare/Bootcamp, then try to play with the files it gives you on your Mac from there?
Overall the Mac Office ('04 and '08) are crippled POS's compared to Office '07 for Windows. Use '07 in some sort of virtualization (Parallels / VMWare) if you can, as MUCH of the things I need excel for (in College business classes at least) are not supported in the Mac version... Just my two cents and customary rant about Office stuff on Mac.