The most common cause of this issue is that the Windows installation for your virtual machine has not been set up for printing. In both cases (Parallels and Fusion), there is a tools pack that you need to install to set up all the printing and networking functions. This will allow you to print to your local printers (plugged into your Mac directly) or your shared printers (out on the network). Contact support for either software (Parallels or Fusion) to make sure that printing has been set up correctly for your virtual machine.