I have the new MBA so I have Lion. And obviously I don't have a CD Drive but I guess I could borrow my dad's iMac's, even though I don't know how to yet.
Also I can't decide if i should put it on a USB or install it on the computer. I only have 128gb. How much space would Windows take up anyway?
To the best of my knowledge Parallels makes better use of your computers power. Just buy one of these (or trial) and follow the instructions, its pretty easy.