Indeed, your only (reliable) option is to run some version of Windows on your Macbook (either in Parallels or "dual-booting" with BootCamp), which will require a Windows license (approx. $200 for retail XP or Vista), though the Windows Vista Basic OEM version ("System Builders version") was only $89.99 from newegg.com. (I can't guarantee that version will work on a MacBook though. That version is a non-transferable license). The only cost-free option would be to run something like WINE on Linux (it's been done:
http://www.youtube.com/watch?v=kdoDe8jaFtY but if you haven't heard of that before, chances are it's not a road you want to go down, since it's complex to set up and you still have to either dual-boot or run parallels. Linux is pretty much for serious computer geeks only.