One added thing.
There's a trick in installing the Radio Shack software. I just installed it on a "real" Windows machine and ran into the same issue.
You put in the CD, and then insert the device. Windows Installer Wizard will come up and when you ask it to look for the driver, it won't find it. Banish the Wizard, then open the CD and run the installer program on it.
It will run but there will still be complaints and it won't work. Now unplug and replug the Radio Shack USB cable. Up comes the Wizard again, but this time, it'll be able to find the driver. Use it to install, and you're in business. COM3 comes alive.
It's horribly slow on the real PC too, but Parallels is a fair bit slower still.