From JumpBox Documentation Wiki

How can I run a JumpBox on Parallels Desktop 5 for Mac?

JumpBoxes will run on Parallels Desktop 5 for Mac if you use the Parallels Import option to import the JumpBox.vmx file. I suspect that the same process will work on the other Parallels 5 products. Details on how to perform this on a Mac can be found below.

Importing a JumpBox

1. First off, we assume that you have already downloaded and extracted a JumpBox zipfile somewhere on your computer.
2. The next step is to expand the virtual machine dropdown so you see the "Import..." option.
   
3. Select "Import..." from the dropdown menu as shown:
   
4. Choose the "Existing Virtual Machine" option and then click the "Continue" button.
   
5. Now click the "Choose..." button to open the file browsing window.
   
6. Find where you extracted the JumpBox on your computer and then select the JumpBox.vmx file and click the "Open" button.
   
7. Click the "Continue" button.
   
8. At this point, you can change the name or destination of the JumpBox but in most cases you can just accept the defaults and simply click the "Migrate" button.
   
9. Wait a few moments as Parallels migrates the JumpBox.
   
10. The JumpBox is now imported. After clicking the "Done" button, your JumpBox should be ready to launch.