http://imgur.com/a/fySOa
You're trying to change the parent - normally all you need to do is click an istance in explorer.
You're clicking Parent
, I don't know if that is intentional or not. Clicking that section next to parent gives you that cursor because ROBLOX expects you to click an object or model in workspace, or an object in Explorer. Doing so will change the parent of whatever object you editing.