Parallels is not an emulator. Your Mac already had x86 CPU, so it's ready to run a copy of Windows without any emulation being necessary.
There are two ways to run Windows on Mac. You can either A) Use Parallels and install/run Windows as a virtual machine, or you can partition your drive and use Bootcamp to run Windows directly on the hardware (meaning you have to reboot every time you want to switch between Windows/Mac).
Whether you decide to run Windows as a virtual machine in parallels, or directly on your hardware with Bootcamp, you need to install a copy of Windows... maybe that's the step you're missing?