This fix was originally posted by JasonBee, but I have refined it somewhat, included the necessary files as an attachment, and added step-by-step instructions. Officially, this fix has worked for 2 people (that is, JasonBee and myself); if it works for you as well, please say so in this thread and let everyone else know that help is here! 
Your System:
-Parallels 4.0.3810 or newer
-Guest OS Windows XP (I am using Professional with Service Pack 3, and have not tested on other versions)
-Host OS Mac 10.5.6
-NO sound drivers installed whatsoever except for those from Parallels Tools
Your Problem:
-In Control Panel > System > Hardware tab > Device Manager, under Sound, video and game controllers, the hardware Intel(R) 82801BA/ BAM AC'97 Audio Controller has an exclamation mark beside it indicating that there is no driver installed. In the Audio control panel, it indicates that no audio device is connected.
-If this is not the case, please uninstall any audio drivers you may have installed (including Realtek -- it doesn't work), un-install and re-install Parallels Tools. You MUST be able to see this particular piece of hardware.
Your Solution:
1. Download attached file and unzip it anywhere on your computer. It should be a folder called "driver" with three items in it. I unzipped to the Desktop, you can use C: for ease of browsing if you wish. It doesn't matter, just remember where it is!
2. Go back to the Device Manager (use the path under "Your Problem" if you don't remember where it is) and double click on Intel(R) 82801BA/ BAM AC'97 Audio Controller.
3. Navigate to the Driver tab and click Update Driver. Make sure to NOT allow the Update Wizard to use Microsoft Update, click Next. Now choose "Install from a list or specific location" and hit Next. Check the box for "Include this location in the search" and Browse to the "driver" folder you downloaded and unzipped earlier. Upon hitting Next, it should start scanning and then begin installing an unnamed driver.
4. A window will pop up asking you to insert the Windows install disc and navigate to the "ac97int.sys" file. Don't fear, this file is included in the "driver" folder! Simply Browse again to the "driver" folder and click OK. The installer should find the file here and continue until it finishes.
5. That's it! Go to Control Panel > Sounds and Audio Devices, and the audio device that appears should be called Intel(r) Integrated Audio. Toy with the volume for a minute, incredulous and relieved to finally have sound after so much unnecessary stress. Enjoy some music.
And that's it! Again, if this fix works for you, please say so in the thread. If not, I will try to include files that may make the fix more widely compatible in my next "driver" attachment.
Yours,
cbpeaches
Your System:
-Parallels 4.0.3810 or newer
-Guest OS Windows XP (I am using Professional with Service Pack 3, and have not tested on other versions)
-Host OS Mac 10.5.6
-NO sound drivers installed whatsoever except for those from Parallels Tools
Your Problem:
-In Control Panel > System > Hardware tab > Device Manager, under Sound, video and game controllers, the hardware Intel(R) 82801BA/ BAM AC'97 Audio Controller has an exclamation mark beside it indicating that there is no driver installed. In the Audio control panel, it indicates that no audio device is connected.
-If this is not the case, please uninstall any audio drivers you may have installed (including Realtek -- it doesn't work), un-install and re-install Parallels Tools. You MUST be able to see this particular piece of hardware.
Your Solution:
1. Download attached file and unzip it anywhere on your computer. It should be a folder called "driver" with three items in it. I unzipped to the Desktop, you can use C: for ease of browsing if you wish. It doesn't matter, just remember where it is!
2. Go back to the Device Manager (use the path under "Your Problem" if you don't remember where it is) and double click on Intel(R) 82801BA/ BAM AC'97 Audio Controller.
3. Navigate to the Driver tab and click Update Driver. Make sure to NOT allow the Update Wizard to use Microsoft Update, click Next. Now choose "Install from a list or specific location" and hit Next. Check the box for "Include this location in the search" and Browse to the "driver" folder you downloaded and unzipped earlier. Upon hitting Next, it should start scanning and then begin installing an unnamed driver.
4. A window will pop up asking you to insert the Windows install disc and navigate to the "ac97int.sys" file. Don't fear, this file is included in the "driver" folder! Simply Browse again to the "driver" folder and click OK. The installer should find the file here and continue until it finishes.
5. That's it! Go to Control Panel > Sounds and Audio Devices, and the audio device that appears should be called Intel(r) Integrated Audio. Toy with the volume for a minute, incredulous and relieved to finally have sound after so much unnecessary stress. Enjoy some music.
And that's it! Again, if this fix works for you, please say so in the thread. If not, I will try to include files that may make the fix more widely compatible in my next "driver" attachment.
Yours,
cbpeaches