Just open up Activity Monitor (in Applications/Utilities) and force quit the Parallels VM process (press the Quit button, then Force Quit). I know that's a hassle, but it's the only way I know of to fix that problem.
This issue went away for me in Parallels 7 after upgrading to Lion. Which is probably the reason the Parallels team haven't fixed it. Snow Leopard is now old enough they won't bother, with Mountain Lion now the current OS and Parallels 8 being out.
Last edited: Dec 13, 2012