I am having the same issue.  I cannot open a PDF files from My Documents folder in Parallels.  I also am unable to see my PC's drive on my desktop.
Have reinstalled Parallels with no effect.  
I have also tried recreating the VM just using the same HD image file with no effect.
Mac Pro 10.4.9 with build 4128 and XP SP2 with latest tools.
					 
				
			
			
			
		 
		
		
		
			
			
				Last edited: Jun 19, 2007