Linux on Mac

I have MacBook Pro with Intel processor. I am trying to run here Red Hat as an alternative to Mac OSX. I already installed Windows OS in Parallels Desktop. After downloading Red Hat iso files (3 files), I tried to install from ISO in Parallels, however I get message

"No boot device available"

Did I downloaded proper distribution? (Red Hat Enterprise Linux WS (v. 3 for x86).)

Should I merge those 3 ISO files, or I just need to burn all 3 discs and install from disk? (is it even possible to "merge"? I am a bit out of civilization for a week and I have just one empty CD here, so I try to avoid burning and install from ISO, which should be possible from Parallels)

Is there any other trick in Linux, which I missed? I never installed Linux before, only MacOSX and WindowsOS.

Thanks for any hint!

RHEL 3.x is waaaaay out of date. Download and install RHEL 6.1 or 6.2 (just released). If you want a compatible distribution that doesn't require paying for updates, then try CentOS 6.x or Scientific Linux (SL) 6.x. Myself, I run SL 6.1 on my laptop and 6.0 on my workstation (soon to be updated to 6.2 when available).