VMware allows you to run one or more virtual machines at the same time on one computer. You can download VMWare Player for free.

Running VMware Player

To run vmware player, open a console and enter

vmplayer

Installing VMWare ESX server

After installing VMWare ESX server, set in /etc/ssh/sshd_config

PermitRootLogin yes

.vmdk files hold virtual disks
.vmx files describe a virtual machine (where to find the virtual disks etc.) in vmware's own format. It can be opened e.g. with vmware player.
.ovf files describe a virtual machine in a standardized format. The virtual machines can be imported e.g. with vmware player.
.ova files describe a virtual machine in a standardized format. The virtual machines can be imported e.g. with vmware player.

If you get a pop-up saying "Failed to initialize mouse-keyboard-screen control", you have probably tried to start your virtual machine in an nx session. Better use a vnc session.