I went to PD 4.0 Devices menu item and enabled Apple Bluetooth USB Host Controller. XP could not find the driver therefore it failed to install the device.
Try the following article (the first part A): http://kb.parallels.com/en/4933
Drivers you need are the Boot camp drivers and located on your Leopard CD.
I tried the procedure listed above and the driver installed successfully but the device has an error in the device manager.
I enable the Bluetooth USB Host Controller under the PD 4 device menu and an error occurred during the hardware wizard installation of the device:
The driver installation file for this device is missing a
necessary entry. This may be because the INF was written
for Windows 95 or later. Contact your hardware vendor.
Apple Bluetooth drivers could not install under VM (Parallels Desktop 4.0.3844.408728) with Windows XP.
No problem with Vista.
I opened ticket at Parallels helpdesk team.
Two days they played ping-pong (try to check our KB, try to re-install everything etc.).
Last message from Parallels: Your ticket has been escalated to our Secondline support engineers for the further detailed investigation. We will address your request as soon as possible and kindly ask for your patience and cooperation. We will contact you as soon as any investigation updates will be available.
You need to install Bluetooth Boot Camp drivers from the latest Boot Camp version. They include records for most of hardware used by Apple. It can be found on Leopard 10.5.7 DVD or downloaded from Apple.
Please download Boot Camp Drivers Update 2.1 for Windows XP/Vista from Apple website and try to install in in Windows:
NOTE: Boot Camp drivers 2.0 from your Leopard DVD should be already installed.
After you install them, please try to connect your Mac Bluetooth device to virtual machine and let Windows install drivers or install it manually in Device Manager.