are you using a mac? if so make sure you've downloaded the disk image and not the windows version of parallels. if you're using a pc i would suggest posting in the windows forum and not the mac forum.
so where are you in the process? you have downloaded but when you open the image it shows you the weird box? or you were able to open the file you downloaded and were able to install it but when you start up parallels you get the weird box?
if you are using a MacBook, you need to download Parallels Desktop for Mac http://www.parallels.com/en/products/desktop/ this will allow you to run windows on your mac, though you'll still need a windows installation disk. no Macintosh file ends with .exe - that's a windows executable.