Trouble running Ubuntu on with parallels

Hi
I have parallels, and decided I would like to run ubuntu on my MacBook. I downloaded the .iso image from http://www.ubuntu.com/products/GetUbuntu/download#currentrelease uder North America>United States>Ftp.ale.org onto my desktop. I then opened parallels, and selected "Customize virtual machine and install any operating system inside it". I then chose "Linux" for "OS Type" and "Other Linux Kernal 2.6" for "OS Version". I set the amount of RAM for the virtual machine to 512 MB.(My MacBook has 2 GB of RAM.) Next, I selected "Create a new hard disk image". Then, for the size of the virtual hard disk, I chose 20000 MB. For the networking option for the virtual machine, I chose Bridged Ethernet. I selected Airport/Wireless Adapter and checked the Connect Cable at startup box. I then chose to use the .iso image I downloaded instead of a real cd, and specified where it was. I selected finish. When I tried to start the virtual machine, parallels says "There is no operating system installed in the virtual machine."
What am I doing wrong?