Not strictly true, I had to both configure my ethernet and then my airport within Windows. Fortunately for me, both took zero time to set-up and work fine.
Go to Control Panel, Wireless Setup Wizard then type in your network name and password following the prompts.
I am using airport as my network connection and parralells just picked it up and works. I didn't have to configure anything. I think the only thing you have to choose is the type of networking as fas as bridged or not. But not which interface to use. Unless maybe you are using both at the same time.