There are three different ways to run Windows software on a Mac.
- Boot Camp
- Virtualisation - either VMware Fusion, Parallels Desktop or VirtualBox
- CrossOver Mac or similar e.g. WINE
Boot Camp is a utility from Apple which adds an additional partition on your drive in to which you then install real full-blown Windows. You then boot from this partition and you are then running real Windows exactly like on a real PC! Boot Camp is free but you need a legal paid for copy of Windows.
Virtualisation involves using an Application to run Windows in a virtual environment within Mac OS X, i.e. at the same time. Being that it is running in a virtual environment it is slower particular for graphics and cannot directly access (most) hardware devices. It is however perfect for running typical Windows applications. Of these only VirtualBox is free and is the slowest and least polished. (You get what you pay for.) You still need a legal paid for copy of Windows for all of these.
CrossOver Mac is totally different. It is an emulation of the Windows programming libraries and allows you to run some Windows applications directly on the Mac and does not require a full copy of the Windows operating system. I must stress many applications will not work and in many other cases only much older versions will work. They have a list of tested versions of applications on their website. You can always download a trial copy and test your own application if it is not listed.
Most people go the Virtualisation route.