Response from Parallels Needed!!
Yup, here too - build 1940 complains about the tool version inconsistency every time I go into full screen mode, except on the first reboot following yet another attempt at reinstalling the tools.
In fact, for today's round of aggravation with this, I ran the tools installer the first time and agreed to UNinstall them, rebooted Win2K, confirmed no tools (mouse was captured by Parallels), rebooted Windows again (just to be sure any remnants of the tools installation could finish clearing out of the Windows registry catacombs), *then* installed the tools again (about my 7th installation). On the next reboot & expansion into full screen, no complaint. So I suspended Windows, exited Parallels, then restarted it & resumed Windows (as is my normal morning routine). On going into full-screen mode, same complaint.
When I check the version of the Tools from the Tools Center within Win2K, it says it's build 1940, just as it should be. I even downloaded a fresh copy of Build 1940 & reinstalled that, but it didn't help. I guess the choices from here are to (A) just ignore it, and hope that there is no other underlying problem of which this is a symptom, waiting to corrupt my guest OS or anything, or (B) uninstall Parallels (hoping it doesn't remove my guest OS!!!) and install again from scratch (as the previous poster suggested).
So, Parallels folks - could we at least get some acknowledgement of this bug & (A) what we can/should do about it (especially: is just ignoring it ok?) and (B) can we expect it to be fixed in some upcoming upgrade?
(A blemish on my otherwise totally satisfying experience with Parallels Desktop - I rave about it to any & all who I think should know about such things!

)