I'm somewhat confused, will I be able to install programs that are .exe files? The guy at the Apple store told me I wouldn't be able to. Most of the programs that are available online are .exe, take for example some random program that shows you how to play piano chords. Can someone explain this to me?
Yes.
Bootcamp: All it does is create a partition on your hard drive so that you can install windows onto that partition. When you turn on your mac, you hold down the option key, and you get to choose which you want to boot into, either OSX or Windows. If you choose windows, then windows boots up as if you are on a PC notebook. Everything is the same.
Virtualization through Parallels/VMWare Fusion: This allows you to run windows inside of OSX without having to boot into windows as described above. This means, that you can boot into OSX, then run windows in it's own window. If you have a bootcamp installation of windows (as described above), then these two software will recognize it.
Let's say you have Fusion...you start that program, choose to start up your bootcamp windows partition, a window comes up and windows starts up in it. You can work in Windows as if it you had booted into it as described above. Anything you do (installation of software, etc) is as if you had booted into windows.
take a look at the pic:
that's fusion virtualizing windows...you can do anything you would normally as if you were running windows normally.