This is a program - actually, it's a compatibility layer, but that's rather a mouthful - that has its roots in Linux, but also works on OS X. Here I'm going to look at two applications - one free, one a commercial product - that will allow you to do just that.
Windows runs great on a Mac, but if you only need to run a few specific Windows application on your Mac, then you might be able to do just that without needing to go to the expense or hassle of installing Windows on it.