I had the same problem as you Ranch. I'm running Win7 on Mac OS X (Snow Leopard) / Parallels 5. I solved my localhost problem on mac , by turning off win7 firewall and "enable" anonymous authentication in Authentication setting in IIS Manager.
Also I've configured in parallels:
Configure - hardware - Network adapter 1: Default Adapter
Preferences - network - connection type - shared networking
Edit: For Parallels 8
Configure > Hardware > Network adapter 1: Default Adapter
Preferences > Advanced > Network: Change Settings
> Shared