I have heard of a programme that alows you to run windows on Linux, is this true and if so what is it called?

It's called win4lin, a commercial program, but I've no experience with it. You can find it here: http://www.netraverse.com
You need a Windows licence to use it. There's also a system called Wine, which emulates windows on GNU/Linux-systems. It's free, but still in development. You can find it here http://www.winehq.com

I use vmware to run windows in Linux. It works very well. More info is available at http://www.vmware.com

I've tried both VMware and win4lin, and there are certainly pros and cons with both of them.

VMware would be the choice if you are mostly testing/running/developing windows client applications that rely on MS networking (TCP/IP, Samba, etc.). The downside of VMware is its heavy toll on memory. Don't expect it to run smooth with anything less than 128MB (preferrably 256MB).

Lin4win is the speediest of these two. Windows 95/98 (only OS that are supported) installs in about 20 minutes. Booting Windows in lin4win is done in wooping 10-15 seconds!! Memory usage is also incredibly low here.
Networking is just not as good as in VMware since lin4win just maps your Linux directories directly to a drive letter.

My conclusion would be that VMware is more suited for business use, while lin4win is the choice for home users. (especially since both are $ware .... VMware approx. $200,- and win4lin approx. $60,-)

Has anyone tried the latest version of Win4Lin? It claims that users can run Windows programs at native speeds, which would be nice. I don't know about having two OSes residing on the same partition....I would think that is asking for problems....any thoughts/experiences?

Personally I prefer wine. You can not actually run windows on Linux but you can run windows applications in Linux

http://www.winhq.com