How to press Alt Gr in Parallels Desktop?
According to this article on macosxhints you can press ctrl-alt to get AltGr.
Sometimes that doesn't work, so you'll have to remap your keys under windows, which is described in the linked to article.

There's also this article on Parallels' forums which suggests you do this:


  
  Stop any running VMs, close all instances of Parallels Desktop for Mac.
  Launch “Macintosh HD” - “Applications” – “Utilities” – “Terminal”.
  Type the following commands in Terminal (without quotes), please mind that the system might ask you for the Administrator password after each command – type it and hit Enter:
  “sudo touch /Library/Parallels/.keyboard_config”
  “sudo chmod 666 /Library/Parallels/.keyboard_config”
  “sudo echo "numenterisaltgr" > /Library/Parallels/.keyboard_config”
  Close the Terminal.
  Launch Parallels Desktop for Mac and check Right Enter key behavior in VM – everything should work as you’ve set.