Its one of the few issues I have found with moving to using Macs, the lack of a # key.
On the Mac, you press Alt + 3 to show the # key.
Once you have parallels installed, if you are running windows 7, the same combination worked, however if you install Windows 8 it no longer works.
After spending half an hour + searching Google and seeing that lots of other people have the same issue and no results, I contacted Parallels support, who knew the answer (obviously)
The way around this is actually really simple:
Ctrl + Alt + 3 displays a # hash key within Windows 8 on the Virtual Machine!