There are three approaches. You could run a VPN client on the Mac side and simply let the "PC" (Parallels) access the network through that. Or give Parallels "real" internet and run a VPN client in Windows. Third approach, of course, BootCamp. BootCamp runs Windows _natively_, so there's really nothing holding you back - it'll just be like a PC, basically.
I'd look through Parallels' user forums, maybe someone there already had this request or explained how to do it easily.