When you download the trial version you get a .dmg file. You mount the .dmg file which gives you a Parallels Desktop 5 volume in the Finder. On the volume is the Install.app. You run the app and it installs Parallels Desktop. You don't need a cd or dvd.
Is it asking for a Windows installation cd or dvd? Parallels does not come with an operating system. You need to get that separately either as an .iso file or a real cd or dvd. If you're installing Linux, then you can download the Linux .iso.
