Unable to create clone

Using Parallels 6 and Windows 7 with 10.6.6. I have a guest account set up on Windows as Parallels says is necessary for a clone. Without the virtual machine running, the Clone and Clone to Template choices on the drop down menu under File are grayed out. I just want to create a good backup of my virtual machine just in case. Can't figure out why I can't access the Clone commands. Perhaps there is a better way to backup? I also use Time Machine and have excluded Applications and System files.