MicrosoftUnix is a page on information sharing of Unix experience under the Influence :)
Here are some choices for WindowsXp (pro version) or WindowsTwoThousand:
There are of course other ways, using the likes of MsVirtualPc or VmWare. Or set up a multiboot system. I do not know of any good reason why this costly (at least in time) step is necessary.
Note it was reported MicrosoftServicesForUnix can be installed side-by-side with CygWin. But do you really want it done that way?
Reasons for using CygWin over MicrosoftServicesForUnix