Installation of Parallels Desktop 5 with Windows XP Tools

I can't seem get 'Parallels Desktop 5 with Windows XP Tools' to install. I get the following message:

Parallels Tools are a set of useful add-in features, like automatic mouse capture and dynamic screen resolution adjustment.

To install Parallels Tools, click Continue. If the CD/DVD AutoRun option is enabled in your virtual machine, the Parallels Tools installation will start automatically. Otherwise, open My Computer and double-click your CD/DVD drive.

Note: During the installation, the Parallels Tools ISO image will be automatically connected to the first CD/DVD device in the virtual machine configuration.

I do what it says but the installation does not take place. What should I do?