You need to use the Diablo II native installer.
http://us.blizzard.com/support/article.xml?articleId=20758
So, you download it, run it, and it will ask you to insert your play discs.
But for myself that didn't work. The game was originally written for OS 9 so it seems to have issues I think.
If that native installer doesn't work then you can install windows on boot camp. All you need is a copy of XP SP2 disc or Vista SP1. Then you can run the boot camp utility (That will create disc space for windows, or called partitioning). I would recommend running any games in boot camp than parallels/VMware fusion. In virtualization(What parallels/VMware does) you're running windows on top of OS X, which eats up a lot more hardware resources.
Smerky