a few things I can think of off hand -
First a question - can you see other computers on the network in your network browser if you're looking for a shared folder or whatnot?
My initial thoughts of what could be the problem:
1) In a VM you have various options for handling ethernet connectivity. In parallels you have: Shared, Bridged, Host Only and no networking. Assuming you can access the internet, then you have either shared or bridged. If you have shared, that's probably where the problem lies, especially if you can't see other computers in the network or their shared resources but can ping other computers and access the internet. shared networking basically turns your mac into a mini router and between parallels and osx you are doing nat - this can (and usually does) break windows networking. If it's set to shared, try setting it to bridged (will have to be done with vm turned off I'm sure) and then making sure your windows VM has an appropriate IP on your network.
2) There is a firewall that is preventing upnp from propogating to your OS - see:
How Windows Firewall affects the UPnP framework in Windows XP Service Pack 2
3) There is something else with parallels breaking that level of access - I use vmware, so I don't know much about parallels in terms of any additional tools they have you install that could interfer with your networking
4) perhaps your AV is somehow blocking upnp access?