Q: MacBook Pro has a loud fan?

I just got a MacBook Pro with Retina Display last night, and I was playing a game on it, and all of a sudden I hear this loud whirring noise. I wasn't sure what it was from, at first I thought it was from my game. It kind of sounded like animated water running, and I was next to a body of water in my game. But I closed my game and it didn't help. I also closed all my apps and it didn't help. So I restarted my computer. It didn't go away but eventually faded away. I have used Mac desktops and some older MacBooks before at school, but I am a previous Windows user at home, so I'm not familiar with the workings of a MacBook Pro. What causes the loud fan? I'm assuming it was the fan running. And how do I get it to turn off?