Running Windows through Parallels is the same as running it on a native PC. Yes it can get infected with viruses and spyware so you still need to run an anti-virus etc. The way parallels works is it creates a special file that contains the OS so it's fully self contained. While Windows itself can get infected it can't damage OS X. So it's a yes and no answer: You still need to protect Windows, but if it gets infected it won't harm OS X.