No I think he meant getting rid of the small Parallel symbol in the lower right hand corner of a Windows Application icon.
As I've not really got Parallels to work properly yet, I can't promise anything but... BACK UP ALL! Find the Parallels Desktop application and rt/ctrl-click Select "Show Package Contents" Browse through the contents>resources folder and there are loads of images. One is labelled "Parallels-Overlay.icns" I am assuming that if you change this you will change the overlay. There are other icons that you could try altering too THIS IS AT YOUR OWN RISK ... i can't even get a trackpad recognised in a "transported" image!
Yes, that'll do it. I'd imagine that if you remove the icon or replace it with a blank one, you will no longer get the overlay. It is also possiable to change the look of a specific applications by goining into your windows application folder on the mac side.