When you click in the Parallels window, the mouse and keyboard should work just fine within the Windows environment. If it's not, then something else is wrong.
During that time, the mouse and keyboard won't work for the Mac side until you release them using Ctrl+Alt.
Once you install Parallels Tools in the guest OS, this modality goes away (i.e., they should just work) except when Windows is first starting up. (For example, the "an error occurred, how do you want to start up" screen.) During these times, the click/ctrl+alt trick is the way to go.
If you've installed Parallels Tools and/or you've clicked in the window but Windows isn't recognizing the mouse and keyboard, then something more involved is going on.