You can use VMWare or a different virtual machine application if you wish to run Windows in a separate window, while still being booted into Mac OS X. Keep in mind that it may run slowly, because your computer processor is being used for two operating systems at once.

Alternatively, you can boot into Windows directly by installing the Bootcamp software. When you start up your Mac computer, there will be an option to choose between Mac OS X and Windows. This is the best option in my opinion.

Another option is to try Parallels, which will attempt to run the Windows application directly, without booting up Windows in a virtual machine. This software is not guaranteed to work all the time.