You will have to buy the external USB modem from Apple for your macbook to run dial-up. It costs $49.
For games you have two choices. Either only play games that are released for both mac and windows like world of warcraft etc, or if you really want to play the windows only games you pretty much only have the option of using bootcamp and installing windows on your mac. It doesn't cost much. Bootcamp is free so it will cost you 1 Windows XP CD, The Game CD + Installation Time.
Finally Parallels is NOT a software that can virtualize PC Software!!!!! Parallels is strictly for virtualizing third party OPERATING SYSTEMS on your mac. Since Parallels uses the minimum possible specs for any virtual machine (well almost minimum) you pretty much have absolutely no chance of running any game on a windows xp os simulated by parallels.