Aaron,
A clarification of MightyGem's question. In order to run Windows applications on a Mac, you need to install a virtual machine. This is a Mac application which can then be used to install an run Windows. I infer from your original post that you must have a virtual machine already installed on your iMac. You can look in the Applications folder for your virtual machine: most likely Parallels Desktop or VMWare Fusion. Other possible applications are Virtual Box and Wine.
Concerning your original post, are you able to launch Windows or is the error occurring when you try to launch Windows? If it is the latter case, you will need to make sure that the virtual machine you are running is compatible with Catalina.