A few more things:
After enableing the CGFX plugin you will need to
1) Enable Smooth Shading and Hardware texturing
2) some example shaders are in the folder(it may be different on mac or other maya versions):
3) When you get this working, check out this post. I am having a problem with CGFX that i would be nice to hear if you have this problem too:
4) Reply again in more detail of you need better instructions.