Spaces was not enabled by default on my install. I had to go into System Prefs, and expose' / spaces tab, I had to "enable spaces".
Then, either use the "show spaces in menu bar" option, or drag the spaces application from your applications folder - straight to your dock.
Or setup a hotkey for it.
Edit: Anyone know of a way to assign an application to a spaces window - but NOT have it auto snap-to when it's launched or quit?
I like having Parallels on it's on space, but can't stand the auto snap-to when it's launched or closed. It seems to crash my 2nd OS when that happens.