Please follow the instraction:
1. Open Configuration Editor for your VM by clicking "Edit" button in Parallels window when you have VM selected but not running.
2. Select "Network Adapter" from the list on the left side.
3. Set your VM to "Host-Only" networking (mind that "Enabled" and "Connect cable at startup" settings should be checked too).
4. Go to Mac OS X "System Preferences" - "Sharing" - "Internet".
5. Set "Share your connection from" to your Internet connection interface.
6. Enable "Parallels Host-Guest Adapter" (also may be called "EthernetAdaptor (en2)") in "To computers using" list.
7. Press "Start" button. If you have Mac Firewall running, you need to check "Personal Web Sharing" in the list of allowed services (or just disable the Firewall).
8. Check your VM's Internet connection. You may need to reboot your Mac for this to work.