Nope. This is all happening because I did a clean install of OS X 10.4 on my box after having unresolvable problems running some java-related applications.
After the clean install I installed Parallels, updated it and the installed XP. Since then, every time Parallels starts up it walks me through the "New Installation of OS" process, as if nothing has ever been installed.
If I go through with the install, it's the same thing the next time I start it up.