MacBook Pro "clicking" while muted when showing a message dialog in Windows on Parallels - what's happening?
The pops you hear are due to the sound card turning on then turning off.  It is more obvious if you connect your laptop to an external sound system.  Unfortunately it isn't something you can control/change on your system.
I'm guessing that Apple does this so that the sound card doesn't play interference sounds (hums, whines, etc) from power sources, cell phones, etc.

Although it might be more obvious with the Windows dialog and alert sound, it is not just Parallels.  I have the same problem in Parallels, VMware Fusion, in every Mac application, and even the Finder.

For example, try pressing the volume up and down buttons on your keyboard and listen very carefully.  Just before the volume change sound plays, you will hear the pop as it turns on.  About 3 seconds later, you will hear another pop as it turns off.  (If the volume sound doesn't play when you press the volume buttons, hold down shift).

Another example is to play a movie in Quicktime Player where it is completely silent at the start.  When you press Play, you will get the pop.  The "off" pop will happen about 3 seconds after you close the movie window or quit Quicktime Player.

If it bothers you a lot, a total hack workaround I've found is to get Audio Hijack Pro.  Install and run it then from the Audio Hijack Pro menu, select Install Extras and install the Instant On option.  In the main window, select the System Audio entry and click the Hijack button.  You will hear the pop as AHP turns on the sound card.  Since the sound card is already on, other apps like Parallels won't cause the pops to happen. Simply hide or minimize the AHP application and it will keep the sound card active.

AHP is free but any recordings over 10 minutes will have noise added.  Since we are just hijacking and not actually recording anything, you shouldn't have any problems with the free version.