Upgraded to Parallels Desktop for Mac Build 6.0.12092. No internet connection from virtual machine (internet explorer installed with Windows in VM) now. Found the same subject in http://kb.parallels.com/8865. Offered solution does not help. Mac is connected to router. I've tried to change Network connection (Shared, Bridged via Airport, or Default adapter, etc.). No luck. Don't know where to look else.
I think you must contact for support. Some parallel users advised me to contact them for immediate action regarding certain issues.