I have been playing with some penetration testing tools lately. The most common distribution is Kali Linux. If you are just getting started with Kali Linux I recommend using pre built images in a virtual machine. Offensive Security who sponsor Kali have created some free images.
On Windows you have a few choices for virtualisation software however only Vmware player, workstation or virtual box work with the images.
If you are on a Mac either Virtualbox, again free or vmware fusion which is around Â£68. It is also possible to run it on Parallels for Mac which costs around Â£68 apparently. Here is the official guide.
All the products listed have business orientated versions either in either license use terms, extra / advance features or both.