There are several software solutions to work with Windows programs on a Mac under OS X; BootCamp, Parallels or VMware Fusion. I’m using VMware for a while now, because I had good experiences with VMware Workstation on a PC.
For the Mac there is now a new version, so I upgraded my version to VMware Fusion 4. Faster, better integration with the Mac. … And with support for Apple OSX 10.7 Lion.

BootCamp is a Mac OS X 10.5 component, which allows you to install Windows XP or Vista on a seperate partition to run Windows apps. Those apps can make use of the Mac hardware processors, 3D graphics accelerators etc.