parallels 5 drag and drop: how on earth...

It is advertised as soooo easy, but I cannot for the world find out how to drag files (and now specifically a pdf) out of windows and into my mac.
And from within finder, I cannot find any of the windows files either: where are they? And why can't I save anything directly onto my home folders on the mac? This was so instant and easy in parallels 3, but now in 5 I have yet to find the reason why I upgraded in the first place.

I saved a pdf onto the windows desktop, and rightclicking ask for it to be opened by 'adobe acrobat professional (mac)' - nothing. Acrobat starts alright, but no file is opened. I can only read it from within windows with Acr. Reader, but then not save it to anywhere outside windows.

Any help out there?

Have you installed Parallels tools within your windows VM?

Yes I have installed parallels tools - even if that took a while for the program to execute. Would a reinstall help perhaps? Let's see if I can find out how to do that.

hum: when I click 'reinstall parallels tools', it says this:

To install Parallels Tools, click Continue. If the CD/DVD AutoRun option is enabled in your virtual machine, the Parallels Tools installation will start automatically. Otherwise, open My Computer and double-click your CD/DVD drive.

Note: During the installation, the Parallels Tools ISO image will be automatically connected to the first CD/DVD device in the virtual machine configuration.

Click to expand...

Hitting continue doesn't do anything, as there is nothing in my drive since I downloaded parallels 5...
So basically: nothing happens.

??