Upon booting into Window the first time using Parallels Desktop v5, you may experience a blue screen. According to Parallels tech support, this is a known bug with some multi-processor Macs, and occurs when the Parallels Tools are attempting to be installed.

The workaround to the blue screen is to shut down the virtual machine, set the virtual machine CPU number to 1 (Menu->Configure->Processors), start the virtual machine, and log into Windows. Next wait until the Parallels Tools are installed, then shut down the virtual machine, and set the virtual machine CPU number back to your desired setting.