Download Tweak UI http://www.microsoft.com/windowsxp/downloads/powertoys/xppowertoys.mspx Create shared folder in Parallels that points to your home directory in OS X Use Tweak UI to remap windows shared folders: Desktop --> \\.psf\desktop = /users/charles/desktop My Documents --> \\.pdf\documents = /users/charles/documents etc. Now, your desktop and documents folders are synchronized, which makes the saving/moving of files around very seamless.
Also worth checking out: http://www.deviantart.com/view/17625638/ I used the theme to skin windows, so now my windows apps present almost identically to Mac apps.