Solved
Okay, after poking around on the Mac side I discovered that you create an alias from Lion's Finder. Navigate to the applications folder and create the alias' from there...but it must be the Applications folder under Parallels:
Macintosh HD > Users > Home > Applications (Parallels) > Windows 7 Applications
From there, simply right click on the desired app, select alias, then drag to the desktop.
Lawrence
Last edited: Nov 29, 2011