The Raspberry Pi doesn't come with a hard drive, instead it boots from an SD card. In order to install the operating system on the SD card you need to do what's known as flashing the SD card. To create a Raspbian SD card on a Windows system follow these instructions.
As well as the choice of case there are a number of options for operating system for the Raspberry Pi.
Without getting too technical, the Pi has an ARM based processor so will only run an ARM compatible operating system. Both Windows (up to windows 7) and Mac OS X run on x86 based processors so are not compatible with the Pi. The main operating system that the Pi will run would be Linux.