My Boot Camp is missing

I am trying to run a program located in the Parallels folder on my Mac. When I double click on it I get the message.

When I click on the “Find it ….” line, it opens Parallels.com on the web, which is useless. The OK button simply dismisses the window.

I don’t know what "My Boot Camp" is or where it is.

Parallels/Windows seems to work fine and Windows in Boot Camp works OK.