I seem to remember this happening to me when I installed Parallels 2. It's been a very long time. If I remember correctly, though, I just had to let it sit there until the "don't touch anything until Parallels tools finishes installing" window went away, and then I had to start the environment again.
I think what I did was use the keyboard (alt-F4) to shut down windows safely and then started parallels again. Try that?
Also, do you use your Boot Camp partition as your parallels volume? And which version of Parallels are you trying to install?