Help Needed for ITIN

Dear,

To file income tax for 2005, I am applying ITIN for my parents who have stayed in US for almost half year. Following items are needed:

1. W-7
2. Valid federal income tax return
3. identity documents

My parents never filed incme tax return before. Would you kindly let me know how I can submit the Valid Federal Income Tax Return? Your response would be great appreciated.