It seems that the ideal Windows setup is to combine Boot Camp with Parallels. It appears that one can install Boot Camp and then add Parallels, but I already have Parallels but don't have Boot Camp. I'm not sure what happens with Parallels utilities when we boot to Windows. I suppose they're ignored, which means, the Apple USB modem wouldn't work, but normal mouse actions would. If I need Active-X or some old full-screen games, I reboot. Otherwise, I work from within Parallels. What would be nice would be some utility that allowed one to migrate everything from a Parallels virtual Windows session to the Boot Camp created Windows partition. Failing that, I'd like to find instructions on how to do this by hand. I'd like to use the same copy of Windows, deleting my old one before Microsoft says I have too many copies. (I don't even know how hard it is to add Boot Camp Windows to working Mac).
It's not that bad... Go to Apple's BootCamp download page, they have instruction on installing BootCamp there. Once you have BootCamp installed, use Acronis True Image (or something similar, this particular one has a fully enabled (10-day?) trial) to back-up your Virtual Machine and restore it to your BootCamp partition. Now, just aim a new Parallels configuration at your BootCamp partition. Install the BootCamp drivers and you should be good to go. Just back up everything first!