Skiped adding VHDX File in Set-up - Now stuck in boot menu

Hey everyone,

I just bought and installed Parallels for the first time. During the installation, it asked me to add a VHDX file or image during the installation. At the time I didnt know what that was and skipped it, thinking I can add it later. I now realised that I need this to boot Windows and got the VHDX file. However, I know reached the boot menu and cant seem to get back to a point where I can add the file. Does anybody have experience with this? I just want to set up the Windows instance. Thanks!