I've reported this several times now via the bug reporter. In ML and in Cohenace, to close a Windows program you used to be able to command-q the active window and it would shut down the application. Now when you do it, it shuts down (well, suspends) the entire VM.
Try to restore defaults in shortcut settings. Go to Parallels Desktop menu -> Preferences -> Shortcuts and click Restore defaults at every tab in this menu.
