Since Parallels isn't writing CDs yet, you have a few other options: You can use Quicken to do a backup over the network to your OSX partition, and burn the backup on a CD. You can just do a network backup to another machine on your network (my technique), or you can back up your entire .hdd including the quicken directories.
You can also create another .hdd file, attach it to your VM (as drive D), put your quicken data on that, and back that (smaller) .hdd file up on a CD from OSX.
There's lots of ways to deprive that kitty of its skin.
