Problem on installing a downloaded Windows 8

Hi guys.

I have recently purchased Parallels 8 and also download version of Windows 8 because I have a MacBook Pro and the geniuses from apple took out the drive.

As it turns out that the geniuses from Windows decided that I need to be able to run exe file in order to download the windows.
and, of course, I can not run exe file because I am on MacBook and that is the whole point of me purchasing Windows, to run the exe.

Now, is there anyway I can get around this problem??
Or is my only option is to go and find my mate with Windows PC and download in it, make iso file from it, and then bring it back to my place?

Thanks for your time and advice guys.