There aren't any native WMV live encoders for Mac, but Windows Media Encoder and other software live encoders work just fine on an Intel Mac booted into Windows via Boot Camp.
I don't recommend using Parallels for live encoding due to its performance limitations (among other things, it only runs on one core).
My compression blog:
http://on10.net/blogs/benwagg/
My compression class at Stanford:
http://digitalmediaacademy.org/courses/video-compression-training.html