Have a read of this Apple page about the use of Boot Camp. As your MacBook is brand new, is it not running "Mountain Lion", which is currently at OSX 10.8.2?
Boot camp lets you boot into either Mac or Windows and, according to the above page, Lion and Mountain Lion only support Windows 7; Windows 8 and earlier versions are not supported.
The alternative is Parallels 8 for Desktop which lets you run both Windows and Mac programs without rebooting. I did briefly try the "trial version" in conjunction with Windows XP and it seem to do what it claims, although I decided to stay with separate computers for Windows and Mac.
As I understand it, you would still need to protect Windows with AntiVirus, and malware/spyware applications.