Okay, there’s a lot of confusion and misinformation so far.
If you have a Mac with an Intel processor, there are a couple ways to run Windows programs.
One way is Boot Camp. Each time you reboot, you decide whether your Mac will run Windows or OS X. If you’re running one, you need to reboot to use the other. The Boot Camp software comes with the Mac, but you need to buy (or otherwise obtain, but I won’t advise you on how to do illegal things) a copy of Windows. You also need to figure out how much disk space to give each OS.
Another way is virtualization software. You need to buy VMWare Fusion or Parallels, or download the (open-source, but not as feature-rich) VirtualBox, and buy a Windows license. You run that program, and it allows you to run Windows (or any other PC operating system) as a separate application on your computer. All three of them have modes where you see your Windows (or Linux, or whatever) desktop as a window on your Mac; VMWare Fusion and Parallels also have modes that let you intermix windows from the virtualized operating system with Mac windows, and cut and paste back and forth. Also, you get to say how much disk space the virtualized operating system thinks it has, but it only takes as much disk space as the stuff you actually store.
And a third way is to use something like Crossover Office. This is a set of programs and libraries that interpose themselves between your Windows program and your Mac, and translate Windows system calls into Mac system calls. This grew out of the WINE program on Linux; for things that have been tested extensively with them, such as Microsoft Office, they work fairly well, but for odd and unusual things, all bets are off.
It’s not just a gimmick—it’s tremendously useful. I use VMWare Fusion because I prefer the Mac by a long shot but occasionally need to test something in Windows. And the question asked in this quip is one of the things that’s keeping Dell and HP upper management awake at night. Microsoft isn’t terribly concerned yet, because people running Windows on Macs are still buying Windows licenses.
(And it’s Mac, not MAC—it’s short for Macintosh, not an acronym.)