Parallels Desktop for Mac offers multiple viewing modes: Full Screen, Modality, and Coherence. Here, Windows 8 installed in Parallels Desktop for Mac is used as an example to show how to switch the display.
Parallels Desktop for Mac - Switching Views
full screen
Modality
Coherence
For example, when you launch Internet Explorer, it behaves like an app on your Mac. See here for other uses and settings of Parallels Desktop.