Hi etiennegrosjean,
There are several ways to find your virtual machine in Finder.
1.By default all virtual machines are stored in /Documents/Parallels or in /Users/Shared/Parallels folder:
2.Another simple way to find your virtual machine is to search for .pvm in Finder:
3.You also can locate virtual machine in Finder via Parallels Desktop Control Center (Virtual Machines List in older versions).
Right-click on Parallels Desktop icon in Dock and choose Control Center (Virtual Machines List): Right-click on the virtual machine and choose Show in Finder: