You could try Adobe's PC Illustrator forum here:
http://www.adobeforums.com/cgi-bin/webx/.ee6b328/
Are you trying to save your Illustrator PC files on a mac directory? That might be your issue, or you don't have correct permissions set for your hard drive. Does it recognize your Parallels as a user on your mac?
Try saving a file to the Parallels desktop. Does that work?