You have several possiblities, each with their own advantages and disavantages:
VMware is a virtual machine so that you can run different OSes inside each other.
cygwin provides a Linux-like enviroment inside Windows.
coopertive linux is a modified linux kernel that is designed to run inside a Windows enviroment. You can use it to boot up linux distros inside Windows without the extra overhead of virtualization hardware.
And there probably a few other options.