What to choose when starting Parallels 4 with bootcamp

Hi,

I upgraded to Parallels 4.0 from 3.0. Previously, there were two boot options when loading windows XP.
Windows XP Professional
parallels configuration

(The names might not be exactly correct but I think you get the idea, if you need more information, please let me know)

I never got a chance to choose under parallels 3.0 and it would go into parallels installation when using parallels desktop, and windows XP when loading to bootcamp.

Now that I have version 4.0 it seems that I can choose between the two options. Which is the correct one to choose? Do I need both?

jeff