I was just about to post that I'd found the solution to the printing problem (after spending many hours fighting to get a printer to work), but it looks like someone beat me to it!
If you look under Mac Help, there's a topic on Sharing your printer with Windows users. This is where they recommend using the installing the Bonjour Printer Wizard in Windows - I tried it and it worked beautifully. (Note: Bonjour uses the Generic/Postscript printer driver - apparently this is part of the key to getting the printer to work, as opposed to installing your own printer driver.) The help file also gives an alternative method of printer sharing using SMB/CFIS (I have no idea what that is), which also indicates that you need to use the Postscript printer driver to get the printer to work with Windows.
You can download Bonjour for Windows at
http://www.apple.com/support/downloads/bonjourforwindows103.html
Apparently this is not a problem with the Parallels software itself, but a standard Mac/Windows printer sharing thing (since Mac Help addresses it). I do agree that this should be in the Parallels documentation though, since that would save new users countless hours of frustration!
BTW, my printer is an HP Deskjet 5550. I could never get it working as a local printer in Parallels. I think at one time I did have it working as a network printer (after turning on Print Sharing on the Mac side), but then it stopped working (would say it was printing when it wasn't) and couldn't find the fix until I tried using Bonjour. Bonjour immediately fixed the problem!
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