You probably have Parallels set up to automatically connect to the CD/DVD drive, so when you insert something it's already using it for Parallels.
Next time you shut down your VM, edit the settings and turn off "Connect at startup" for your CD/DVD drive. You'll need to connect/disconnect it manually when you insert a CD that's meant for Parallels. You can do this while Parallels is running using the menus (or the status bar icon for the CD drive).