Double posting is nasty - especially when both posts are to the incorrect forums - too lazy to read and comprehend?
You should set up your modem to provide OSX with connectivity, and share the connection with the VM using an of the three available networking modes available in Parallels. Shared networking is probably the easiest. Be sure you are running the latest parallels version. Note that this has been discussed several times and al forum search would have found the threads.
