Once you buy Windows, you need to decide whether you want to install it "native" using Bootcamp, or Virtual (using VMWare or Parallels) or both.
I did both.
Using Bootcamp Assistant (a Mac utility), I partitioned the hard drive and gave my Windows partition 50GB. The utility walks you through creating a USB install stick from an ISO image of a Windows install disk, downloads the necessary Windows drivers from Apple, and kinda walks you through the partition and install process. Relatively painless.
By doing this you will be able to "boot native" into Windows, which will give you the best performance possible.
You can also get VMWare or Parallels (I use Parallels). This is Mac software that will create a virtual machine with Windows using your legally purchased Windows disk. The virtual machine (VM) is essentially a file that lives in your Mac drive, and when you open it, it runs Windows inside the Mac OS in a virtual machine. Very slick and it works very well. Games that require the most performance might lag a bit as the Mac OS has to emulate an environment for Windows to run, so that overhead can cause delays, but most software runs great.
I did both by first installing Windows in bootcamp and then installing Parallels and creating a VM from the bootcamp partition. That way I can run most Windows software (like Quicken) inside a VM in Mac OS (which is fast and convenient), and when I want to boot natively into Windows, I can do that as well.
Good luck.