Virtual Appliances and VM-Ware
This is old news, but if you want to easily run Linux/OpenBSD simultaneously with Windows you can use a free VM-Ware client along with an image of that OS (called a Virtual Appliance). The key differentiator to look for is that they have VM Tools installed since it will reduce some of the headaches of switching back and forth between your Virtual Appliance and Windows.
This is a better solution than installing Cygwin, ActiveState Perl, Xemacs, etc on your Windows machine (like I have at home).
Virtual Appliances: VMTN Appliances