Actually that is quite simple (you may even be ashamed after reading how simple ). Simply click on the "Import an existing virtual machine." link in the virtual machine library (I believe this is one of the first things you'll see when starting Fusion the first time) or go to File > Import.A bonus for Parallels was that I was able to import my VirtualBox Win7 VM. It was fast quick and easy. Fusion 3 I wasn't, or at least I couldn't see where or how (yes I did look around and try). So I had to do a complete Win7 install, also installing the programs I use like Excel, Word, etc..... :^(
Check out the vm settings, Parallels 5 has an option to isolate the vm. Checking this checkbox this will disable any folder sharing and drag & dropping for the vm. If you want to keep the drag & drop ability you can disable folder sharing. Parallels in that regard has quite some security settings you can use. However, it becomes a bit different when you're looking at the architecture of the Parallels and Fusion software. They way Fusion handles things provides for more security.On VirtualBox and Fusion 3 this wasn't the case. I could opt to share that one folder only. Better for my heart and mind security wise.
I actually dislike Parallels with this. Yes they have a smoother Coherence mode but VMware can fix this in Fusion updates. The problem lies in how Parallels does Coherence and the many modes it has. You have Coherence and Crystal which are like 99% the exact same thing with just the difference that with Crystal some stuff will end up in some menubar icon. That menubar icon is only used for the Crystal mode, it is useless for anything other. The problem I have is the unnecessary amount of modes (windowed, fullscreen, coherence/crystal is enough) and the fact that you have to look at 2 places for stuff: menubar and some folders/icons in the dock. In Fusion this is done a lot better because you only need to look at the menubar icon. You can access the start menu from the dock icon if you want but you'll miss out on the other options (like the ones on the View menu). If you hate the menubar icon you can hide it (option is in the vm settings).However I really like Parallels GUI and their coherence mode is AWESOME. I can access the Win7 start menu from my dock (cool as hell). Wayyyyyyy better than Fusion's Unity mode.
You can use the menubar icon which is a really nice thing (it is actually the only thing you need, everything is in that menu). If you want you can use the Windows menubar (it's called task bar) but you have to enable it first which you can do from the View menu.However you can't get at the start menu like on Parallels. They do have an attempted start menu like thing when clicking on the Fusion icon in the Mac task bar at the top of the screen. But I don't care for it. If that was the true blue start menu of my VM, it would be much much better.
I think you need to go explore the various settings in Fusion and Parallels because there are a lot of things you can do to customise them to your liking. Don't use the automatic settings when creating a vm because in Parallels you'll end up with folder sharing enabled (you can deactivate it later on in the vm settings) and things like that. So go and explore the settings