Hi KristofF,
you could make a screenthot of the Parallels Tools installation screen and post it here. Please note that Parallels Tools should/can be installed only when virtual machine and Windows are already running.
Hmmm... this doesn't look like the Parallels Tools install screen but more like a Windows XP install screen. Is the Parallels Tools install disk mounted in the VM? You'll find that out by checking the menu Devices > CD / DVD.