How much RAM have you assigned to the VM (Windows)? Have you changed any of the VM defaults? How big is your virtual disk? Using Win2k here, the sweet spot in performance on a 2 GB MacBook seems to be around 768meg RAM for the VM. I get good VM performance and reasonable OSX performance. Much greater or much less, I see all sorts of problems, mostly speed, but I suspect that way out at the ends things will start to fail. XP might be even more RAM sensitive. And as an experiment, how much effort would it be to create a new VM and try again?
Then if that doesn't work, maybe you can find out what the company image has installed besides XP that might be causing a problem. (Anti virus, firewall, etc.) and disable them after you install the image but before you install Parallesl tools.
Don't you hate it when it works for others and not for you? Drives me nuts.