thats correct mr X, and the program you require to do so is called bootcamp.
It also only works on intel based cpu macs not powerpc.
you also require a full windows disc to install windows onto the hard drive in a partition just like linux and windows on the same drive.
boot one OS at a time. you will be running windows anyway on a mac intel machine.
As it stands there is no direct X method for inside OSX and i wouldnt be placing bets that darwine will ever pull itself up to direct x 9.0c anytime soon
http://darwine.opendarwin.org/
emulation methods wont run direct x effectively as well like virtualpc etc..