Well, in effect, you do need a disc. If you want to run Windows XP (for example) under Fusion, you have to own a copy of Windows XP. You can buy a retail copy at a computer store. Inside the cardboard box will be a CD-ROM with Windows XP on it, and a little yellow sticker containing a long string of numbers and letters. That string is your "product key."
When you go through the "New Virtual Machine" dialogue (which it sounds like you're doing) at one point you'll be invited to type in that product key.
At the very end of that dialogue, you'll see that the selected default choice is "use operating system installation disk." If you insert your Windows CD into your Mac and proceed past that screen, Fusion will boot up a virtual machine, which will install Windows into itself using that CD.
There are other ways to get a virtual machine, certainly. Let us know if this one doesn't work for you.
