Can I drop-and-drop a file from VM to Apple Mail?

In the Parallel Desktop demo video, a file can be drag-and-dropped into Outlook as an attachment. But I use Apple Mail and the mail client, now I finish editing a document in Windows under Parallel Desktop, can I drag and drop it directly to Apple Mail as an attachment?

I can drag and drop a file from Windows XP desktop to Mac desktop, but failed to drag and drop the file from Windows XP desktop to Apple Mail as an attachment. Please let me know if it just doesn't work or I need a better configuration.

Thanks.

CZ