Macs are not immune to malware such as trojans. At the moment there are some pirated copies of Apple iWorks 2009 and Adobe Photoshop for Mac, and some people think it’s a good idea to download pirated software. Unfortunately there’s currently a trojan called OSX_RSPLUG.B that is hidden in some pirated versions of these programs. So people installing it, thinking they’re getting free (and illegal) copies of these programs are actually installing malware.
This malware changes network settings on the Mac and redirects web pages to somewhere else.
So yes, Macs can have Malware. And never trust pirated software (it’s also bad for the companies that spend time and money making software, and it’s illegal).