This is a problem that only affects users with a UK keyboard mapping.
I have the same issue. I have solved it by downloading the following app:
http://www.alexspeller.com/hostedfiles/backslasher.zip
Run this from inside your Parallels XP session - it will remap the key to the left of the Z key in XP to work as the backslash \ key. Now you can map to other Windows machines on your network easily!