I guess that depends on what it is you miss about Windows. There are a couple of different options for running Windows software though. There's Boot Camp, which basically lets you run Windows natively on your system, and then there's VMWare/Parallels which lets you run it along side Mac OS X. There's a performance hit, but since the CPU instruction set is the same, it's pretty minimal.
But there may be things you aren't aware of about OS X, or maybe it really is better for you to return it and get a Windows based laptop. Won't really know unless you can be a bit more specific than "some windows functions."
I just bought a MacBook Pro and while I love somethings about it, I miss being able to use some windows functions. What are the problems with adding Windows to it? I have time to return it and go back to a PC but I think if it had the other operating system as well I would love it..seems like a lot of money though to keep it if I am running windows on it..