Parallels installation problem

Clymber

Bit poster
When I try to install Parallels from the "Install Parallels Desktop" icon I get a pop up window with the message "There is no default application specified to open the document "Install Parallels Desktop". How do I get past this point? Which application do I need to use to start the installation process?
 
I still get the same message

I've downloaded the new build 5608 that you suggested (my version 5582 was from my newly purchased DVD) and clicked on the icon again. I still get the same message. I'm using OS 10.5.5 on a MacBook Pro.
 
No Installer.app on computer

There is no Installer.app on the computer under OS 10.5.5 that I can find. Where is it located and why do I have to do that with a new DVD? Why is Parallels any different from other applications? By the way the .dmg file is 88Mb
 
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