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When you installed Parallels, you would have specified a location for your virtual hard disk. In that directory, you will find a .hdd file, which is your virtual hard disk, and a .pvs file, which is a configuration file.
Copy both those files to a safe location, for a quick, easy backup.
As for the licencing issue, you either work within the requirements of the evil empire, or you work around them. If you only have an upgrade version, and not a new install version of vista, then you will obviously have to install xp first. You can create a new vm to do this, which leaves your current xp vm untouched. If I were doing this, and I didn't have another licenced copy of xp, then I would just do whatever it takes to get around the licencing hurdle.
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