EDIT EDIT: Added a small section on pen pressure.
EDIT: More programs added at the end! For those who would rather try something other than Parallels.
Since people were asking about it on my most recent deviation, here's how I managed to run Paint Tool Sai on my system with pen pressure. This is pretty much all taken from various tutorials, so if you read something you don't understand here, just google around and you should be able to find an answer. Also, I'm sure there are easier/different ways, but this is how it works for me.
Software/hardware used: Paint Tool Sai, Windows XP iso, Parallels Desktop 8, 2012 Macbook Pro. I initially use