Actually, I would consider setting up a seperate partition for shared files a better solution... I'm not a Parallels user (PPC Mac), but I've got lots of experience with multiple operating systems on a single machine and that's the way to go.
1) If you Windows partition goes under, you don't lose your data (which is obviously something you want to use often if you're sharing it between OS's);
2) You don't have to have Parallels running (or even a small part of it) and taking up resources to access the shared files;
3) Even though Windows to OS X networking is pretty good, it's not perfect. Mounting a drive is a lot simpler than dealing with network shares, and more reliable;
4) Speed will almost certainly be better on both ends. The shared folder would be accessed through some sort of emulated SMB fileshare, I assume, which is a network protocol, which means redundancy and overhead. Mounting the partition directly means better speed;
5) Backups will probably be easier to maintain and schedule with a partition than with a shared folder.
Just my immediate reaction to the question and proposed solutions...