Currently, .exe files are not associated with Parallels in a sensible way, as it can be done e.g. with CrossOver.
Personally, I carry around a lot of "Portable apps" (www.portableapps.com) on a USB stick, and it would be cool if I could just attach my USB stick, double click an .exe in the Finder and run it in Parallels.
Personally, I carry around a lot of "Portable apps" (www.portableapps.com) on a USB stick, and it would be cool if I could just attach my USB stick, double click an .exe in the Finder and run it in Parallels.