My Parallels Desktop 3.0 doesnt work?

Hi! I bought Parallels Desktop 3.0 yesterday and I installed it but it doesn't work. I have a MacBook.

when I tried to start Windows Vista the following message appears:

Parallels(R) 3.0 build 5608 (C) 2005-2008 Parallels Software International Inc.
All Rights Reserved

640 KB Base Memory
524288 KB Extended Memory
Boot from CD/DVD-ROM drive... failed.
Boot from hard drive... failed.
Boot from floppy drive...
Non-System disk or disk error
Replace and press any key when ready




What that means? I downloaded Parallels from the net so I don't have CD..... What if I would burn my Parallels.dmg to the CD? Does it make any difference?

 

Parallels Desktop allow you to emulate vitrual environment to run Windows under your Mac. It has no Windows OS preinstalled.
Please install Windows from Windows Installation CD first.