Miserlou:
Background Noise is absolutely correct. There are actually three ways to do it.
1 - Virtual machines - check out VMware Fusion, Parallels or Q. My experience with Fusion is that's it's stable and reliable. Google "mac virtualization"
2 - BootCamp, where you assign a bit of disk space to a Windows partition, but this requires a reboot between using Mac OS and Windows.
3. "Hackamac" or whatever it's called - running Windows as the ONLY OS on a Mac, but personally I think this is as close to criminal as you can get as Mac OS is much more stable than any Windows OS.