Anything in your Parallels Shared Folder is accessible by Windows. That means that if you catch a virus that wants to start deleting files, Windows (through Parallels) will be able to delete anything in your Shared Folder.
There are two things you can do to protect yourself.
1. Don't put anything in your Shared Folder that you're afraid to lose. For the record, I violate this because my entire /documents folder is part of my Parallels Shared Folder
2. Don't use your Parallels installation to web browse or open emails or run any programs that you think might possibly infect you with a virus. Right now, I use Parallels for exactly one thing: accessing my employer's ActiveX-based webmail.
edited to add:
A lot of this also depends on which drag-and-drop settings you're using. I have global/local drag-and-drop options disabled. So if I drag a file from OS X to Windows/Parallels, it just appears on the Windows desktop as a copy. Windows/Parallels still can't actually write, delete, or otherwise manipulate the original file.
And after I typed this post, I went into Parallels and changed my Shared Folder so it no longer has access to my entire /documents file. That was just dumb. :ninja:
