CAUTION: Delete my startup disk?

[TheMadLeper]

I just downloaded Parallels and am attempting to install Windows 2000 Professional as a guest os. I have gotten to the blue screen setup (sorry techno moron here) and it gives me the following

Setup has determined that your computer's startup hard disk is new or has been erased, or that your computer is runing an operating system that is incompatible with Windows 2000.

If the hard disk is new or has been erased, or if you want to discard its current contents, you can choose to continue setup.

If your computer is running an operatin system that is incompatible wiht Windows 2000, continuing Setup may damage or destroy the existing operating system.

To continue setup, press C.
CATION: Any dadta currently on your computer's startup hard disk will be lost

To quit Setup, press F3

Should I ignore the warning, is it a valid warning? What should i do? Will it actually delete my Startup disk? I assume if it does that means everything on my Macbook currently will be deleted