Bootcamp (free from Apple) gives you the ability to boot your system into Windows, which is installed on a separate disk partition from OS X. OS X functions are not available while Windows is running.
Parallels ($), VMWare Fusion ($), and VirtualBox (free) are virtual machine managers, which allow you to create a Windows (or other O/S) system that runs within a program window in OS X. These will slow your system down because it is doing the processing for Windows and OS X at the same time.
For both of these solutions, you need a Windows license.
If you don't want to buy Windows and are super adventurous, you could try installing CrossOver ($), which allows you to install some windows software so it runs directly on OS X (that is, masquerading as a native OS X program), but Visual Studio is known to be flaky in that environment, so I advise against this. Masochists may feel free to ignore my advice.