As the others have said, Intel Macintosh hardware can run Windows. Here’s a screenshot showing it running OS X, Windows and Linux at the same time. There are three ways to do this.
Way 1:
Create a new partition and install Windows on it.
In Mac OS X 10.5, Apple provides a utility called “Boot Camp”, which lets you partition your OS X hard drive to allow for a second partition. You then install Windows onto the second partition from your install disc. (The Windows install disc must me Vista or XP service pack 2. No earlier versions of Windows will work.)
This gives you the ability to boot either into Mac OS X or into Windows. When you start the computer, hold down the Option key to select which partition to boot from.
Once you start Windows, you insert the OS X 10.5 install disc, and install the drivers for the Apple hardware from it. Then Windows can use the trackpad, webcam, eject button on the keyboard, etc.
This is a regular Windows installation, so once Windows is in, you should go to Windows Update and download all the updates. When I put Windows on my MacBook Pro, in the first week of January, there were 106 updates. There have been more since.
I also downloaded drivers for the ATI X1600 video card in my machine, plus drivers for my scanner, tablet, and printer.
You’ll also need to install the standard Windows anti-malware tools. I used AVG Antivirus, Spyware Search and Destroy, and Zone Alarm. All have free versions.
All in all, it’s a standard Windows installation process.
Windows runs very fast natively on the MacBook Pro hardware, and very hot. I ended up getting a little utility valled SMCFanControl, which enabled me to crank up the fans in OS X, and when rebooting into WIndows, the fans stay at high speed and the machine is cooler.
Then there’s Way Two:
Buy virtualisation software, create a virtual machine, and install Windows on the virtual machine.
I bought VMWare Fusion. This enables you to create “virtual machines” (VMs) in software. The virtual machines are Intel based (no emulation of other processors here), and provide a generic video card, memory, hard drive, processors, etc. You can install just about any Intel operating system on them as a ‘guest’. Fusion treats the whole installation as a big file, and you can pause the virtual machine, save and restore it, and copy it.
VMWare Fusion’s competitor is Parallels, and it has many of the same features. Both have free trial versions.
When you start a new VM for Windows, you install Windows in the same was as you would in a new partition. as described above. You also install “VMWare Tools” into Windows, which supports things like drag-and-drop between the Windows desktop and the Mac OS desktop.
VMWare also includes a feature called “Unity view” which causes the Windows desktop to disappear; the XP application windows appear to float over the OS X desktop, can be mixed with OS X windows, can be docked, etc.
You can connect or disconnect peripherals (camera, USB drives, scanner, network, etc, etc) to the virtual machine at will. When they’re in use by the VM, they are not available to OS X (except for the network, which is shared.)
You can have more than one virtual machine running at the same time, even. I’ve had Linux in one machine and Windows in another at the same time. If you set up the networking right, they can communicate. This is great for doing things like testing web servers.
This leads to Way Three:
You can also run the Windows installation from the Boot Camp partition in a virtual machine. This has the advantage of not taking up as much space in Mac OS X, since Windows is already residing elsewhere. You get the drag and drop and all the other fun stuff, though you have to install the VMWare Tools as well.
When I was making this post, I dragged the file containing the screenshot image straight from the listing in the Mac OS Finder to Photoshop running in Windows. It opened it without hesitation. 
Things to Watch Out For
If you run windows off the Boot Camp partition, then run the same Windows in a VM, and back and forth, Windows may think that it is being multiply installed on different machines, and will ask you to reactivate. You can do this over the phone, it’s an automated process with voice recognition in English and no humans involved, but it’s still a pain.
Part of the solution is to not activate your Windows until all your setup and tweaking is done. I learned that the hard way.
One thing that seems to trigger the reactivation is a change in the number of processors that Windows sees. By default, VMWare VMs have only one processor, while current Mac hardware has at least two. I selected two processors for my Windows VMs, and that seemed to avert reactivation.
Also, the virtual video card provided in the VM is much less capable than the Mac’s physical video card. If you’re doing 3D-intensive things like Autocad or certain games, you might not be able to run them from a VM, and you’ll have to boot into Windows directly.