Welcome! You basically have two choices (there are more but I'll stick to the two): Apple has something called Bootcamp (part of Leopard) with which you can partition your Mac hard drive and install Windows on one partition. You then need to reboot to get into Windows, and reboot again to get back into Mac. The main benefit is Bootcamp is free and since Windows "takes over" the whole Mac, it'll run better, especially for gaming. The other option is virtualization, where Windows runs in a window on your Mac, much like any other Mac application. For this you need to buy for example VMWare Fusion or Parallels Desktop for Mac (around $80). The big benefit is you don't have to reboot just to run Windows.
In either case you need a licensed copy of Windows.