I suspect that is a configuration settings issue with your installation of Parallels. I’m guessing that you might be running Parallels 10, and I am currently running Parallels 9 (I’ll be updating soon), but it’s likely the configuration settings are similar. I’ve attached a screenshot of what I have set in my copy of Parallels 9 (to get to this, I selected the menu “Virtual Machine->Configure…” in Parallels and then selected the “Sharing” tab from along the left sidebar). You might find your configuration needs some adjustments to open things up between the Windows side and the Mac side.
As a side note, my personal preference is to run my version of Parallels in “Modality Mode” rather than “Coherence Mode” or “Full Screen Mode”. I find this allows me to keep the environments a little more separated and identifiable, but this is just a personal preference – it should not affect the way the Parallels configuration operates.