potential solution
I just installed Parallels on macbookpro yesterday for the same reason: to run quicken 2010 and other programs. I could not access the quicken database either as quicken would crash/quit. The original data files were on another pc and I just copied them to the mac and figured quicken would open them. I was wrong. The fix was this: go to the pc machine, run quicken and do a backup of your account from within quicken. Move that file to the mac, start quicken, choose 'Restore' and navigate to the file.
Another thought may be that you are running Parallels in one of it's modes that it does not share the documents files across both operating systems. When I installed Parallels it asked me if I wanted to run them discretely (not sharing any files) or if I wanted to have both systems use the same files (ie, Documents folder). There was a 3rd option too as I recall, but I don't remember the particulars of it. Perhaps you are running Parallels in one of the modes that does not allow for sharing of files seamlessly across the mac/pc barrier? I believe in one of those modes you can grab the file while in the mac os and drag and drop it into the windows side and it will then be recognized by the Parallels/Windows operating system.
Hope something in there helps out!