cybercrak -- What kind of Mac are you using?
For a notebook (MacBook or MBP), if you have your settings right in System Preferences, you can just tap the trackpad with two fingers simultaneously and it will simulate a right-click both in Parallels and in OS X proper.
If you're using a desktop with a mouse, I recommend buying a proper 2- (or more) button mouse.
Under Boot Camp, WinXP does not recognize any tapping whatsoever from the trackpad. You can neither click nor right-click using just the trackpad.
However, you can click using the trackpad button.
To right-click, you place two fingers on the trackpad and, while both fingers are touching the pad, you press the trackpad button.
So: track button = click; two fingers on pad plus track button = right click.
The "two on pad plus button" thing works in OS X, as well, so you can try it in either mode to get the hang of it.
Frankly, I can't stand the "tap" on the trackpad. I have it turned off on my MacBook.
The keystrokes for a right-click in XP under Parallels on a MacBook or MacBook Pro is:
SHIFT-CTRL-click