Trying to install Parallels Tools (latest version as of August 25, 2014) under a fresh install of Ubuntu 14.10 failed halfway through. First error message in the log file says "/media/<username>/tools/prltools.tar.gz not found", which isn't surprising, since the file is actually found in "/media/<username>/Parallels Tools/tools/prltools.tar.gz". I tried creating a soft link to help the install script find the above file, but then it just choked on something else. In short, the install script seems incompatible with the file system organization under Ubuntu 14.10. Incidentally, I had to upgrade to that version, because software I needed wasn't available under older (now unsupported) versions of Ubuntu. If anyone has a reasonably straightforward solution, please let me know.
Try to eject prl-tools-lin.iso image from VM CD (something like $ eject /dev/cdrom) and then insert again ("Install Parallels Tools" menu).