Hello JosephZ,
Please follow the steps provided below:
1) Start Parallels Desktop. Do not start your Virtual Machine or shut it down if it is running.
2) Go to your Virtual Machine's Configuration (http://kb.parallels.com/117287) -> Options -> Sharing and turn ON Shared Profile feature.
3) After enabling the shared profile feature, for example if you use Microsoft word from your Windows VM and try to save the file, choose save as > select My computer (or) This PC > select Home on 'psf' (Z (Macintosh HD) browse for a desired folder and save the file. The file will be saved in your Macintosh HD.
Last edited: May 30, 2014