Unable to uninstall the dmg file.

I installed Parallels 4.0 from cd onto Mac OSX 10.5.8. After installation, Windows works as expected, but there is a file on my desktop named "ParallelsDesktop-nova_development-en_US-4.0.3844.408822". I am able to drag this file to the trash, but trash will not delete it because it says the file is in use. Is this normal? Also the Windows cd is still in my drive but does not show up in Finder, or the desktop, so I can eject it. Does anyone have any suggestions?