You are the third Parallels person to contact me on this matter, either in the forum or by email. I've gotten different advice from each of you. Frustrating! I ended up completely uninstalling Parallels 4 and reinstalling Windows XP Pro, which was quite a thrash and sadly I managed to lose some data in the process.
As I type this I'm re-updating all the various Windows files I had to go through the first time around, including SP2 and numerous upgrades/updates to MS Office, security updates, etc. Fingers crossed. One thing I've noticed is that in full screen coherence mode, the Windows task bar is invisible. I've checked the Windows task bar "properties" and it's not set to hidden and neither is the task bar set to hidden in Parallel Application. So I'm stumped.