I just purchased Parallels Desktop 9 and running Windows 8 on it. I can't figure out how to transfer files between my mac and windows. I think I have everything configured. Parallel Tools is installed, sharing is turned on in Parallel's configuration, and Documents folder is mapped to my Windows. But I don't see my VM mounted in Finder, and I'm not sure how this sharing between mac and windows works.
Every file and folder that is saved to those shared folders from either OS X or Windows is available on both sides, that's how transfer works. You can also drag files from a finder window to the Windows desktop.