You can create a secondary partition and install another OS on it. It's called dual-booting. Some thinks it's yesteryear's way of having two OSs. I think it's awesome.
VHD allows you to use VM (a application install on your OS) so you can have a second, third, fouth etc OS running on your current OS (just like have separate windows of OSs), instead of booting to a second OS as in dual-booting.