Yes you can. Assuming that you want to run Windows 7 on your
Macbook Air, you can do this through bootcamp (http://www.apple.com/support/bootcamp/).
The best option is to follow a walk-though tutorial on how to do this. I grabbed this from the web:
http://www.iclarified.com/entry/index.php?enid=2672
It has step by step instructions.
If you only want to use Windows software, consider: Parallels for Mac