Yes, of course - it's just Windows (i.e. still suspectible to Internet crapola). A simple approach:
1. Firefox + Adblock Plus plugin
2. Windows Firewall
3. Windows Security Essentials
4. SmartDefrag
All free and don't require user interaction to run, and don't bog down your system.
I guess, as long you have a backup of the Parallels install, you could always nuke the infected install.
MotionMan
