How do I run a Windows virtual machine?

I have a program for my research (Scigress) that only runs on Windows. I would like to be able to run the program on my Mac, I assume the best way to do that is to run a virtual machine. I don't want to run Windows all the time, since I strongly dislike Windows. Is there a way to do this in which I can turn Windows off as soon as I'm done with that program? What would be the best way to do this, or the best app to use? I have a 2009 Macbook with Lion installed.

I apologize, dragon. I didn't fully read your post well before opening my mouth. Sorry, "the ADD" has me (even as a grown man).
You have really two fundamental choices here on where you could take this. My primary concern above all would be "how resource intensive is this Windows software"? I mean, is it like a CAD or other 3D modeling app or otherwise just... monster? Working in the tech field I have seen CAD programs opening a complex drawing nearly bring say... a dual Xeon, 16GB RAM, 2-4GB of VRAM with cards in tandem (Crossfire or SLI in the PC world, I don't know if it's called the same over here)... but it would literally freeze these beasts of workstations solid for 5-20 minutes while opening and rendering some of these mind-blowing CAD drawings (talented guys, no way I could manage to create some of those 3D models of such just... complexity... in a virtual environment).
So-- with that being said, that's worst case scenario on the software. That would pretty much really cripple your luck with virtualization/emulation of a guest OS (that is, the operating system that is running "under the command") of the main one you're running.
If the program is not that kind of one, it would certainly be more convenient to you to just literally almost open "Windows" like it's just another app, literally... and close it/shut it down as soon as you're done, leaving your other OS X desktop work up and running.
If it *is* going to be a resource hog, then your second option is Boot Camp, which I'm sure you've heard of... You basically split the hard drive (partition it) into two segregated areas of storage and literally you can run either/or and utilize the full power of the machine this way, as you're not sharing CPU/memory. The downside, as sort of mentioned-- is that you have to boot into one or the other, it's not a "program" like the other is, almost; so you'd have to "shut down" or use the little utility app at least to reboot into OS X.
Think about your circumstances and take a look at that article comparing or also research Allan's suggestion, that is a new one to me. That will at least get you familiar with what the "experience" of virtualizing operating systems is like... then let us know what you think is best and we can go from there and help you. Sorry about jumping the gun earlier. Hope I made up for it with an abundance of information at least the second time...

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