When purchasing Windows within Parallels, you can choose between three versions: Home Premium ($199), Professional ($299), and Ultimate ($319). After choosing the version you want and providing your credit card information, you're taken to a shopping cart screen, showing your purchase. In the cart is your chosen version of Windows, a set of download instructions, and (somewhat deceptively) a $7 charge for extended download protection; if you don't want that last one, you need to remove manually from the cart. (You can also elect to order a backup disc for $15.)
After checking out, I received an email. I was then able to download the installer for Windows Professional, which included the installation instructions. Unfortunately, the installation instructions were for Parallels 6 and they were in fact incorrect; they advised me not to install the 64-bit version of Windows, for example. If you use the help system built into Parallels, you'll be advised correctly.
Once I got through this initial confusion, the actual Windows installation was quite straightforward and took only about 15 minutes. But despite that convenience, I'd recommend purchasing a copy of Windows either directly from Microsoft itself or from your favorite third-party vendor: you'll likely save some money compared to the price you'll pay in Parallels, and you may be eligible for a much-cheaper upgrade version. (Just to take one example: As I write this, you can buy a copy of Windows 7 Ultimate from Microsoft itself for about $220.) The built-in purchasing works, but there's a high price to pay for its convenience factor.
I tested Parallels with Windows 7 Professional, using the 64-bit edition purchased within Parallels Desktop, installed on a 2011 MacBook Pro (2.2GHz Core i7 with 4G of RAM). (I also installed the Windows 8 Developer Preview edition (build 7.0.14924), and it worked just fine.) As noted, installation was fast and simple, and included the installation of the required tools (for integration of the mouse, accelerated 3D graphics, and on-the-fly window resizing).
During the setup, you're asked to decide whether to set up the virtual machine "like a Mac" or "like Windows." Choose the Mac to start with a fully-integrated environment and all sharing between the virtual machine and OS X enabled; choose the Windows option to create a more standalone virtual machine. (After setup, you can always alter the virtual machine's settings to behave as you wish.)