This depends on what you actually want to do.

1. Move your iTunes library from your PC to your Macbook (no parenthesis)
or
2. Move your music files only from the PC to your Macbook.

There is no special setting on the WD passport, it's just a hard drive that I assume is formatted as NTFS for use with the PC.
If you did not format it when you first got it, then it may be formatted as FAT32.
In either case, the Macbook will be able to read from the disk but, if NTFS, it will not be able to write to the disk.

Just plug the WD into your PC, create a folder on the WD and COPY the music files that you want into it.
wait for it to finish. Eject the WD correctly.
Now plug it in the Macbook, wait for it to mount on the desktop, open it and drag that folder onto the desktop.
Once done, you can drag that folder to wherever you want it. Music folder seems like a good place.

To get them into iTunes, launch the app and choose Add to Library from the File menu.
Navigate to the folder you just moved, choose it and leave the rest to iTunes.

That help?

P