You can install Windows using a hypervisor like Parallels or Fusion, or use Bootcamp. The hypervisors allow you to run Windows at the same time OS X is running. Bootcamp allows you to boot into either Windows, or OS X. In either case you can install the games and apps in Windows.
Depending upon your MacBook's configuration and age, it may not have enough horsepower and resources to run Windows and games/apps without noticeable slowdowns.