GinnyC,
I just had the exact same problem with Lightroom 4. I purchased Parallels 9 and Windows 7 so I can get my wife's Macbook Pro running like Windows, since the Mac OS drives her crazy.
I finally called Parallels Support and got the answer to the problem.
In order to install Microsoft based applications correctly, you need to "Isolate" windows from the Mac OS.
So here is what we did to address the problem.
1. Uninstalled Lightroom 4.4
2. In Parallels Desktop, choose 'Virtual Machine' -> 'Configure'
3. In the 'Security' section, select the 'Integration: Isolate Windows from Mac' check box
4.You will be prompted to confirm that you want to Isolate, so click the button labeled 'Isolate'
5. If you had Windows running during the above steps, go ahead and restart Windows.
6. Reinstall Lightroom (we used all the default settings during install)
7. Launch Lightroom. Lightroom should open the default catalog without any errors.
8. Shut down Lightroom
8. Now you want to disable the "Isolation" setting performed in steps 2-4 above
9. Restart Windows and launch Lightroom again. You shouldn't have any errors, and you're able to share files between Windows and Mac OSs.
Hope this helps. I spent a lot of time searching through threads and finally called support so wanted to pass this along.
Apparently, it is recommended that Windows is Isolated from the Mac during the installation of ALL Windows applications within Parallels.
Cheers.
Todd