You can install Boot Camp or Parallels. Boot Camp is free and I believe Parallels needs to be paid for, as of course a copy of Windows. Parallels runs within Mac OS X while Boot Camp partitions your HDD to install Windows and then you can boot to either OS X and Windows (I prefer this method).
Not sure what model Macbook Pro so you might wanna check that. I just checked some gaming videos on YT of the 2011 13" inch model and it looks like they can run games decently. The frame rate doesn't look great though. =p