1) I connected a second ethernet cable to the second port to my router.
2) Open Mac OSX System Preferences. Open the Network Icon and selected Built-in Ethernet 2 connection. Select Ethernet Tab.
3) Load Parallels. (Configure Parallels to use the second Ethernet port)
4) Run Windows XP
5) Go back to the System Preferences window on Mac OSX. Under the Ethernet tab select configure to Manual and select Jumbo under the MTU.
6) Now you will have full Internet capabilities.
Note: Everytime you reboot Windows XP you will have to go back to the System Preferences/Network/Ethernet Tab and switch back to Automatic and apply and you will have Internet Access again. On another reboot go back again and switch back to manual/Jumbo. It will keep going back and forth on every reboot of XP. Pain in the butt while you're updating Windows XP.
Hopefully you all understand what I explained, but it works on my Mac Pro Xeon!!