This message means that the game you are trying to run has a mechanism to detect if it's running inside a VM, for some reason, the game developers don't want their game running in a VM.
If this is effectively the problem, the steps Ramya detailed won't likely solve it, the only way is to avoid the VM detection mechanism they used in the game.
This issue has been discussed already in this forum before, in the following thread, there you'll find a video with instructions: https://forum.parallels.com/threads...cannot-be-run-under-a-virtual-machine.208400/
As you can read in that thread, it works with some applications not all.
Edit: direct link to video:
Last edited: Feb 28, 2015