I only see this happen when it first starts up if I am on a different space then the one I have picked for Parallels.
For example, in the Spaces preferences, I have picked space 2 for Parallels to run. If I am in another space (1 for example) and launch Parallels, Spaces will jump between space 1 and 2 4-5 times. Then, when I try to click in the Parallels window to "select" one of my two images to boot, it will automatically jump back to space 1 then back to space 2 and nothing has been chosen. I usually have to grab the top of the Parallels window, move it around in space 2 for a few section to make everything calm down again. I have also seen this happen when I shut down a Windows machine in Parallels but it isn't as frequent.
Of course, other applications do not do this. If I launch iTunes (for example) from space 1, I jump to space 4 and then stay on space 4 until *I* change the space.
I have a Mac Pro running 10.5.5 with Parallels 5608. If you need any more info, please let me know.