In order to login from the Mac OS you must use the Microsoft Remote Desktop.
After launching the Microsoft Remote Desktop app you should be at the Workspaces Screen. On the Workspaces screen, tap Remote Resources.
Enter information for the Remote Resource:
For Version 8.x:
For Version 10.x:
User name: Your cloud username including the cloud\
Password: Your provided password
Click Refresh and then click close
Visit the following site for details on how to setup the Remote Desktop Client on Mac: http://technet.microsoft.com/en-us/library/dn473012.aspx
Watch this video for another option and for details on how to redirect your local folder for easier file transfers.