Unable to remove Windows icons from Mac Finder

All the Windows XP desktop icons appear on my Mac Finder desktop. I want to disable them.

In Windows XP Options - Sharing, I have unchecked "Mount virtual disks to Mac desktop" but that has no effect, even when I use the start bar to shut down my one virtual machine. I have even unchecked "Access Windows folders from Mac", but that doesn't help either. In Mac Finder Preferences I have unchecked "Connected servers".

How can I remove all these icons from my Mac Finder's desktop? I am using Parallels Desktop ver 8.0 in Mountain Lion on a Core i7 iMac.