Getting setup...
This is contingent on the windows version you want. If you are referring to Windows 7, Vista, or XP, do the following:
Start parallels desktop. Secondary-click on the Parallels Icon in the Dock and choose "Virtual Machine List". When the list comes up, click the "+" in the lower left-hand corner of the window. A window will appear saying "Create New VM". Put your Windows installation media in the optical drive (or mount the ISO if it is a file by using the drop-down menu "Install From") and then click Continue. It should scan the disk and identify the version of windows you are about to install. It will then ask for an integration level. Choose the one you want and click "Continue". Give the VM a name and click "Create". Then the VM will start and the installation should begin automatically. Follow the on-screen prompts as it installs.
Most likely, it is telling you there is no OS installed because it is trying to boot from a blank virtual HDD. If you use the directions above, it should install just fine.