What kind of mac do you have? If you have a mac with a PowerPC (G3,G4,G5 processor) then you need to purchase VirtualPC and Microsoft Windows from Microsoft. This is very slow because it needs to virtually create the x86 processor for windows to operate.
If you have an intel mac then you can do 1 of two things
1. Download BootCamp (Free,
http://www.apple.com/macosx/bootcamp/) and use that assistant to install windows xp service pack 2 (Must be service pack 2, if you have an XP disc you can "Slipstream" it to service pack 2 [More information here,
http://www.winsupersite.com/showcase/windowsxp_sp2_slipstream.asp]). BootCamp creates a windows partition on your mac and allows you to boot into windows. This has the best performance of the two options, although you can't run both OS'es simultaneously.
2. Purchase parallels desktop for mac (
http://www.parallels.com/en/products/desktop/) This will allow you to install any version of windows (No slipstreaming required) and does not alter your hard drive partitions at all. This allows you to run both OS'es at the same time although the performance is slightly slower then when using bootcamp and it doesn't support 3d graphics and some peripherals.