Symptoms
You have fresh installation of Parallels Desktop 5 (not upgraded from previous versions) and no virtual machines created. When you are prompted to activate Parallels Desktop 5, you select 'Later'. After creating virtual machine, you try to start it and discover that virtual machine does not start. No error messages appear.
Resolution
Close virtual machine and quit Parallels Desktop. Start Parallels Desktop again from /Applications/Parallels and activate when prompted.