This issue has been annoying me for some time but since the upgrade to Snow Leopard it now seems to be happening every time. When invoking the OS X Application Switcher via Cmd+Tab while Parallels Desktop is the front window and a Windows VM is running the Cmd keystroke is always received by the VM and results in opening the Start Menu. This means that whenever I return back to Parallels it is necessary to close the Start Menu before I can interact with the application that I had open in the VM. Parallels Desktop (4.0.3846.436204) is currently configured via the Keyboard Preferences to "Enable Mac OS X system shortcuts" yet this shortcut, or at least the Cmd aspect of it, is still being received by the VM. This should not happen.