You can easily dual-boot between Mac OS X and Windows XP / Vista / 7 on your Macbook... In OSX Application/Utilities folder there's an app called Boot Camp Assistant that will automatically split your disk in two and install Windows... you just need your Windows DVD and that's it. Using this solution you can have Windows running natively on your hardware, just like if it was a PC notebook. Right now I have Win7 installed on my Mac to play PC games and it works great!

Or, if you don't want to dual-boot, check out application called Parallels - it's a virtual machine, so it's not gonna be as fast as via Bootcamp, since it's OS inside OS and you're splitting system resources between the two. It's pretty convenient though :).

It's all nicely explained here http://www.apple.com/findouthow/mac/#windowsmac. You can find more info on Apple / Parallels websites as well.

Also, I'm pretty positive that you can even start with Boot Camp to install Windows on your Mac and then hook up that Boot Camp partition into Parallels - this way you'd have best of both worlds :)