I think I had the same problem where my Pearl would mount onto the desktop of OSX before being discovered in XP.
This is actually a feature of Parallels where under the USB preferences you can select if a USB device is used in XP automatically.
You can also mount the device as you need it by clicking on the USB icon at the bottom of the Parallels window and selecting the RIM device. This will then be detected by XP and Desktop Manager will find it straight away.
I hope I make sense...!