There are two different ways to run Windows on Mac hardware:
1) VMWare/Parallels/VirtualBox
With this approach you are running what is called VM software or simply a 'VM' (Virtual Machine). When installing a VM you then need to install what is called a 'guest' operation system. In your case, this is Windows.
0) Read the VMWare documentation to get a better idea of general concepts/terms. You can either read the documentation online, or the Help menu option at the top of the screen when VMWare is running.
1) Install VMWare
2) Insert your Windows install disk
3) Start VMWare
4) Create a New Virtual Machine
You can do this by the welcome dialogue screen, or by going to the File menu in VM Ware and select 'New'.
At this point VMWare will walk you through a series of steps to create and install the virtual machine.
2) Bootcamp
Bootcamp allows you to install Windows 'natively' on Mac hardware. With this approach, your installing Windows to a dedicated disk partition on your Mac. Once you perform the install you will have a choice of booting into Windows or OSX.
As opposed to the VM approach, Bootcamp has the benefit of providing Windows with direct access to the underlying hardware and as a result, it is faster for some tasks, primarily 3D related applications (games, imaging etc). Also, running Windows via Bootcamp will not be as tasking to your system being that with VM ware you are essentially running two operating systems at the same time. With Bootcamp, you are either running Windows, or your are running OSX both do not run simultaneously.
There is plenty of documentation regarding Bootcamp on the Web. I would suggest starting at Apple's support site
Apple - Support
and doing a simply query for 'Bootcamp'. This should be enough to get you started.
There is no 'right' or 'correct' way when it comes to running other operating systems on your Mac. It is a choice dictated by your needs. If you simply need to do general tasks on Windows, then a VM solution will probably do what you want. A VM approach can often be simpler when first starting out as it does not require a dedicated partition, installing drivers etc.
Again, my real advice at this point is to read the relevant documentation before starting anything to get a better understanding of the terms, concepts, nuances of both approaches.