I don't see an option to create a virtual hard disk from a physical disk or to transport a Windows installation to the Mac from a physical disk.
You have two choices:
A) Clone the physical disk to a virtual hard disk. This has to be done from within a Parallels Desktop virtual machine because only Parallels Desktop knows how to write to a Parallels Desktop virtual hard disk .hdd file.
B) Use Parallels Transporter. Run Parallels Transporter and in the help menu look for "Migrating from Boot Camp". It shows three methods. The first two are:
a) Migrating Within the Boot Camp partition. This means you boot your Mac to the partition containing Windows. Some Macs can't boot Windows from USB drives, and the installation might not have all the necessary drivers to boot on the Mac.
b) Migrating via the Boot Camp Virtual Machine. This means you create a virtual machine in Parallels which boots from the partition on the USB drive. Then you use Parallels Transporter Agent in the virtual machine to begin the migration. When the migration is done, you'll have another virtual machine that will boot from a virtual hard disk.