In Bootcamp/Parallels/Fusion, I have successfully used the "Clear" key by itself (no onscreen keyboard, never knew of one) to activate NumLock. Otherwise, on Mac OS X, NumLock is always on and I don't think can be disabled, as apparent by the key only displaying "Clear" (on newer keyboards/versions of OS X). Only the older keyboards have the light for it, but just because there is no light on the more recent ones does not mean it isn't working. It does.
If you are using Apple's Wireless Aluminum keyboard, there is no numpad and therefor no need for a numlock key.
Proof:
http://support.apple.com/kb/HT1216