Ooh, ooh, ooh - be VERY careful before you upgrade to Parallels 4.
In fact, I would check on the Parallels Forums first and just LOOK at the problems hundreds of 'savvy' users are having with it first.
I've just spent the best part of two days trying to get PD4 to load and configure correctly. I am now BACK on PD3 - it's that good.
Parallels Forums is the link - have a look (before you leap).
As for the sound problem, see if you're up to date with PD3, and check if Windows sounds are muted (initially anyway).