Parallels cannot see photos on the Mac

I have a MacPro with all kinds of memory and hard disk space and 10.5. I am running Parallels with the latest update. When I am in Parallels running a windows program; and go to a Mac drive to upload a photo that I see the thumb of, when I try to unload it I get the following message. Sorry, file NAME...JPG either doesn't exist or isn't accessible. Now to make matters worse sometimes it works on certain folder but not on other folders. I had a full head of hair when the all started; now I am nearly bald. I would surly appreciate any help you could offer.

Thanks much.

 

Not sure I can understand problem, is it possible to provide screenshots?