How to play windows pc games on the MacBook Pro?

I've been dying to know how are you allowed to play window version games on the mac. I've heard of certain types of programs that will allow it to work on through installation and such, but what are these programs and how do they work? I've been trying to play my Elder Scrolls games in anticipation for the new Elder Scrolls Skyrim game that comes out this Oct. Does anyone have any suggestions or solutions?