Hola!
What is the version of the Parallels Desktop you are using? Is it the Parallels Desktop 3.0 or the 4.0?
In case you are using Parallels Desktop 4.0, I'd suggest you to upgrade it to the latest build (so far it is 3810 and it can be downloaded at http://www.parallels.com/download/desktop/ )
In any case, the most convinient way is to setup VM Network adapter to be in "Shared Networking" mode. After this, in case of PD4.0.3810, all should work without any further actions.
If you are running the version 3.0, then there may be some issues with USB-Modems but they can be resolved. Just post a message if you have problems and I will try to help to resolve it.
Hasta luego -)
Last edited: Jan 22, 2009