Since I am always forgetting how to right click in Windows XP on my Parallels VM, I decided to keep it in my blog.

To right click, use the following keystroke combination:

Ctrl-Shift-Click

Also, if you are in Full Screen mode and cannot exit, you can try the following:

Alt-Command-Enter (Return)

Hope that helps someone else out there.

Note: I am using Parallels Desktop 4.0 for Mac.