Installing Windows From a Downloaded Version

I just got a new 27" iMac and I bought Parallels 6 and Windows 7 Pro for it. I downloaded both programs. Since I downloaded Windows, I don't have an installation disk (yet) and it also gives a disk image as a possible source for the installation files. I'm only installing Windows because I intend on using this computer for work. I'm having the same issue with Boot Camp Assistant. Does anybody have any ideas on how to fix this problem? Would it help to burn those files to a DVD and then putting the DVD in? The names of the Windows installation files are Win7-P-Retail-en-us-x86.exe, setup1.box, and setup2.box.

Thanks for any help that might be available!

Aaron