OK - thanks to everyone for posting their hints. They all helped. Here are some more hints I hope will help. Some of you have not used the correct names for the win51ic.sp2 and win51ip.sp2 files. Some of you deleted/renamed the files that were there, that had similar names - don't do that. Create two new files - you can do this by just duplicating the files that are alreay in that directory (Files).

I used Virtual PC to create the folders and create the bcd.iso image.
The BCD command spits out an ISO image when it can't find a burner.
Had to go into Control Panel, Folders, show Hidden Files. The bcd.iso File was hard to find - in a directory called Local Settings, which is hidden by default.

Copy the bcd.iso file to a folder that is shared with the Mac (you can do this in the Virtual PC app - just create a shared folder, it even shows up in real time in Windows XP - so you don't have to exit to do this. Go to the PC Folder->PC Settings to do this.)
To copy over the file using Firewire, shutdown the Mac running Virtual PC (which now has the bcd.iso image in that shared folder with the PC).
Reboot the Mac holding down the t key - this puts it into Target Disk Mode, and makes it act like a FireWire disk drive.
Connect a Firewire cable between the Mac and the Intel-based Mac (the one running Parallels, of course) and copy the file over to the Intel Mac. You could also do this over the network using file sharing, but this is the fastest way to copy 400MB+ of data. I put my bcd.iso file on the desktop.

I'll try to remember this correctly: Launch Parallels - select express install.
Enter in Product key for windows (located on back of VirtualPC dvd case).
When asked, choose to use an ISO image instead of a CD, and locate the bcd.iso that is now copied over to the Intel Mac.
After that, everything seemed to work.
Windows (XP Home in this case) looks strange - there are no icons on the desktop except for Parallels. Double click that and you have access to your whole machine - I simply went to the programs folder and created a shortcut for IE and put it on the desktop.
My copy of windows, though is NOT activated, so we'll see what happens when I try to do that. Shouldn't be a problem, since I really do own this copy of Windows XP.
Man, I hate windows! I went through all of this trouble just to use charting software from investors.com. Apparently, they've not heard of java.

By the way, I tried using the new Parallels Transporter (available with beta) to migrate over my virtual PC image, so I could ostensibly avoid all this hassle - but this just froze on boot in Parallels. And I couldn't use BootCamp at that point because I've already partitioned my drive.

Anyway, Thank you all for the info you've contributed - I hope I've helped some others as well.