From: http://forum.parallels.com/showpost.php?s=4be86dd8ac6ad4b23d937d556aecc920&p=27651&postcount=2
"If you want Right Enter to operate as AltGr key in VM:
1. Stop any running VMs, close all instances of Parallels Desktop for Mac.
2. Launch “Macintosh HD” - “Applications” – “Utilities” – “Terminal”.
3. 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:
4. “sudo touch /Library/Parallels/.keyboard_config”
5. “sudo chmod 666 /Library/Parallels/.keyboard_config”
6. “sudo echo "numenterisaltgr" > /Library/Parallels/.keyboard_config”
7. Close the Terminal.
8. Launch Parallels Desktop for Mac and check Right Enter key behavior in VM – everything should work as you’ve set."
