I just ran into an issue running the ColdFusion 8 installer on XP Pro in Parallels 3.0. When I first tried to run the installer I couldn't see the contents of the installer window. Turns out I had to stop the VM and change the video settings. I disabled DirectX support and custom screen resolutions was then able to see the installer with no problems. I had the same issue with CF 7 so it seems to be an issue with ColdFusion installer software and certain Parallels video settings.