First, you have to run "disk utility" and make an image from your Windows DVD.
Then insert a thumb drive and then burn the image on it also by using "disk utility".
After that just run Bootcamp with the thumb drive inserted.
Done!
Now, I have another issue.
I activated my Windows in Bootcamp, and needed to also activate it within Parallels.
Can't run 2 instances of Windows with one code.