Hi,
I had this same problem, and was able to resolve it by allowing Windows to re-install the USB controller. Open the "System" control panel applet, click on the "Hardware" tab, then on the "Device Manager" button. In my case, under "Universal Serial Bus controllers" one of the controllers showed a yellow exclamation point, indicating that it wasn't functioning. I opened it, clicked "Re-install driver...", and allowed Windows to download and install whatever driver it needed from the Internet. After this Windows gave a message indicating that the hard drive had been recognized, but it didn't automatically map it a drive letter. I rebooted Parallels, and it showed up just like it should.
Hopefully this works for you as well. Just let me know if I can provide any other details.
Todd