Problem with the demo on (Mac Pro + Snow Leopard)

Since I had troubles with bootcamp (I have windows xp service pack 1) a friend of mine suggested that I should use Parrallels. So before purchasing it, I tried the demo first.

I have no problem when I run windows on my Mac, but my problem is when I start my computer. In fact, I have to press on "alt" at the start, otherwise my computer asks for a boot CD (no more specification). Since it wasn't doing that before I installed Parrallels, I assume that my problem comes from the program.

So what should I do?