How did you try installing it?
Can you please tell what mac and version off parallels your running?
Normal you do this :
1) choose new
2) windows express
3) choose windows xp
4)fill in your lincence key
5) a name is specified "microsoft windows xp" next
6) virtual machine, next
7) insert cd (look at more options that "real cd/dvd" is enabled, not ISO)
8) click finish