Poke around here a bit, you'll be astonished at the number of different operating systems the Parallels Desktop supports!! Oh, and not to state anything too obvious, but remember that these are just default preferences. You still need the OS itself for installation.

Almost done with the Wizard.

You need to specify the name of your virtual machine, and where it should be stored on your disk:

Since this is your first VM, Parallels will need to create some directories too, as you'll quickly learn:

No worries. Click "OK" and the virtual machine for Windows XP will be created and ready to install.

Ready to Install

Ah, well, we're almost ready to install, as you can now see when you quit the Wizard and get back to the main Parallels Desktop view: