I have a Macbook Pro and all my friends have 40+ games but most of them are for Windows. So is there anyway that I can download them but on my Mac and be able to play them?
If you're asking if you can play Windows Only games on your Mac then your only option is to use Bootcamp to install Windows on your Mac and then boot your Mac into Windows instead of OSX.
If you choose this, you can still have OSX too. You would hold the option button on startup and and it would ask you if you would like to boot Windows or OSX. Googling 'How to dual boot Windows on Macbook' should help you do this. You will also need a copy of windows to install on your Macbook Pro