Yeah, not all boards come with serial and parallel ports these days. Probably 95% do, but that number will be going down over the next few years. I'm surprised there's still so many around, really. I hardly see anybody using them anymore.
If you don't have a parallel port, you'll need to find a machine that does. I wouldn't recommend trying to find a usb-to-parallel adapter.
Are there any Mac owners w/ this problem out there? I guess that Mac owners might not be inclined to support MS by buying an Xbox.