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.