I think this is in the Parallels FAQ's somewhere but I thought it'd be worth blogging about.

I was trying to setup my USB printer to work from Windows under Parallels on my Mac. I installed the relevant drivers but couldn't get Windows to recognise that my printer was connected via USB, even though it was configured fine in OS X.

The answer is to download and install Apple Bonjour for Windows. Once you have done this, open OS X System preferences and find your USB printer under the Printer & Fax section.

Then choose the Sharing tab and make sure your USB printer is selected for sharing. Then hop back to Windows and fire up the Bonjour printer wizard. Step through the wizard and you should be able to select your USB printer. Make sure you select the printer model as 'Generic / Postscript'. Complete the configuration and you'll be able to print via USB from Windows!