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You can install Windows on Boot Camp or a virtual machine > https://discussions.apple.com/docs/DOC-3321
If you decide to use a virtual machine, install Parallels, VMware Fusion or VirtualBox. You can install the Windows version you want.
If you decide to use Boot Camp, check which Windows editions you can install on your MacBook Air > http://support.apple.com/kb/HT5634 You have to use a System Builder or full Windows version, which you can buy at Amazon or NewEgg. You will need an external disc drive.
There's no risk in installing Windows on a virtual machine, as it's installed on a virtual hard drive. If you install Windows on Boot Camp, follow Apple's steps to install it > http://manuals.info.apple.com/en_US/boot_camp_install-setup_10.8.pdf