Installation

I just recently installed Parallels 3.0 & Microsoft XP Pro on my iMac and when i run the virtual machine the bottom of the screen says 'Click inside Single Window to capture mouse' and it won't let me click on the start menu or anything. I installed this once already on another iMac and i don't have any issues with that installation. What's going on? Please help!
 
In need of some assistance here...

Also, After installing Parallels 3.0 for mac with xp pro i got an error window in xp pro that said 'RUNDLL - error loading \PrlSAShellExt.dll' The specified module could not be found. WHAT DOES THIS MEAN?
 
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