It's working for me in both Windows 7 32 bit and 64 bit. In Windows, I created a new folder in each folder then looked for them on the Mac side.
Desktop -> \\.psf\Home\Desktop -> ~/Desktop
Downloads -> \\.psf\Home\Downloads -> ~/Downloads
Library:
Documents -> \\.psf\Home\Documents -> ~/Documents
Music -> \\.psf\Home\Music -> ~/Music
Pictures -> \\.psf\Home\Pictures -> ~/Pictures
Videos -> \\.psf\Home\Movies -> ~/Movies
Each Windows folder includes two sub folders. For example, Music contains Music which points to the Mac folder (\\.psf\Home\Music) and Public Music which points to the Windows public Music folder (C:\Users\Public\Music). If you click the main folder (Library > Music), it shows all files from both sub folders. If you just click a sub folder then it shows just the files from that folder.
When you turn off Shared Profile, then the Mac Music sub folder reverts to the Windows My Music folder (C:\Users\yourname\Music).
You can manually add sub folders to a Library in the Properties window of the Library. You can't add folders from \\.psf though because they're not indexed unless you make the folder available offline which would duplicate all the files. I don't know how to index network files. What you can do is change the location of the Music sub folder from C:\Users\yourname\Music to \\.psf\Home\Music. I think that's what Parallels Tools must do. This gets around the indexing requirement.
There's a discussion of adding network folders to a library at
http://www.sevenforums.com/tutorials/4617-libraries-include-network-folder.html
There's one post that mentions a utility called "Win7 Library Tool"
http://zornsoftware.talsit.info/?p=3