Step 1 -> open System Preferences -> Keyboard

here we should:  Use all F1, F2, etc. as standard function keys. -> Enable

 

Step 2 -> Open Parallels Desktop -> Preferences

Here we should: MacOS X System Shortcuts -> Enable

 

Step 3 -> Open Parallels Desktop -> Virtual Machine -> Configure… -> Options -> Advanced

Here we should: Optimise modifier keys for games -> Enable

this makes ctrl,shift,alt keys work properly for Windows

 

Step 4 -> Open http://pqrs.org/macosx/keyremap4macbook/index.html.en and download/install “KeyRemap4MacBook  it is free

 

Step 5 -> After reboot open System Preferences -> KeyRemap4MacBook ->

Here you should enable :

Change F1…F19 Key & Functional Key … -> Change F1..F19 Key … -> Macbook Series … -> F1,F2…

Change F1…F19 Key & Functional Key … -> Change F1..F19 Key … -> Macbook Series … -> F3,F4 to Expose…

Change F1…F19 Key & Functional Key … -> Change F1..F19 Key … -> Macbook Series … -> F7,F8,F9…

Change F1…F19 Key & Functional Key … -> Change F1..F19 Key … -> Macbook Series … -> F10,F11,F12…

Change Eject Key ->  Eject to Forward Delete

 

Also if you want to Home/End/PgUp/PgDn/Insert/Delete with one hand inside Parallels VM enable this option:

Change Option_R Key … -> Enable