I was having the same problem but after trying several different things, I was able to find a work around, maybe this will work for you too.
1) Create a link to you Program on your Desktop in Windows
2) Right click and go to properties and set to "Run as Administrator"
3) Open Finder on your Mac and browse to your Boot Camp partition to your Desktop where you created the link
I browsed to -> [C] My Boot Camp -> Users -> username ->Desktop
this is the path: file://localhost/Volumes/C//Users/username/Desktop
4) Right click on the link you created and choose Make Alias
5) Move that alias to your Mac Desktop/Space or drag it to your Dock
Now when I click on that alias it runs the shortcut and prompts me for administrative rights. Good Luck
[Edit]
The alias has by default a folder icon as the alias icon. As an added tip you can make the icon the same icon from windows by
1) Find the original parallels app for Visual Studio (Visual Studio 2010.app) and right click -> Get Info
2) Also do a right click -> Get Info on your new alias with the folder icon.
3) Click on the small icon in the top left corner for the original with the good icon and do command-c
4) Click on the small icon in the top left corner for the new alias with the folder icon and do command-v
Last edited: Apr 30, 2013