I was puzzled by why Parallels 3.0‘s Windows sharing feature didn’t work on my MacBook Pro, although it did work when I tried Parallels under Leopard. This item at TUAW explained it.
I had installed MacFUSE 0.4 so I could experiment with procfs, which makes a lot of hardware and software information available as a file system. However, Parallels includes MacFUSE 0.3 with NTFS-3g, which it uses for read/write access to the Windows virtual drive. If a different version of MacFUSE is installed, that feature won’t work. After removing MacFUSE 0.4, I was able to see my Windows virtual drive in the Finder.