Hi Frits,
I have found a thread about how to connect SkyDrive Pro library to Mac by using the Microsoft Document Connection for Mac for your reference:
http://community.office365.com/en-us/forums/153/t/175143.aspx
Document Connection is a feature that is included in Office for Mac 2011 Service Pack 1 and in Office 2008 for Mac 12.2.9 Update. Run it to configure your Office settings so that you can more easily open and save Office files to your team site, which is powered by SharePoint Online.
Here is an article for your reference:
http://onlinehelp.microsoft.com/en-in/office365-smallbusinesses/gg192873.aspx#bkmk_ConfigureOffice
Thanks,
Wilfred