I have the same problem and am currently in a conversation with tech support about it. As StefanP notes, the parallels process that is causing the problem is pr1_cc.exe (which I discovered using the downloadable Microsoft utilities Process Explorer and Handle). In my case, it seems that the problem is that this file is locking .exe files contained in folders (or subfolders) on the desktop in certain circumstances. I don't know if the problem extends to folders other than the desktop.
Apart from using a program like unlocker, here are some other things you can try:
1) Reboot Windows in safe mode. This worked for me though it is a pain to have to do.
2) A slightly less draconian approach is try going into Virtual Machine -> Configure... -> Security and ticking "Isolate Mac from Windows". This is still not really a great workaround if you want to use the integration features that Parallels provides (which I do), but I was able to set this temporarily, do my renaming/moving, and then untick it once I was done done.
Hope this helps...