You can run some windows programs on Mac OSX, but personally I think the best way, especially if you've a few you want to use, and the way I will be going, is to partition the hard drive. Have most of it running OSX, and use that for everything, except the games you want to use. On the other partition, install windows, then during startup you can select which partition to boot from. Your mac will then run exactly the same as a windows PC, and will run any windows program you want.
This works on all Macs from around 2007.