Setting up Network connection in Parallel Win XP

Bridged is where the VM acts independently of the host machine so it gets it's own IP from your DHCP server and means you can access all your network services as if it's a real machine on your network

Shared is where the host machine acts as a NAT server so your guest network is private with the host machine - you can't access the guest from another machine on the network OR access network services from the guest.

With both modes you CAN however access the Internet and outside world.

Advantages of bridged is that you can have your guest acting like any other machine on the network.

Advantages of shared is that if you're using a Wifi network or network that is tied to the Mac address of your host, your guest can piggy back this and use the same connection.

I would imagine that shared may be slightly slower (but marginally) due to the NAT going on although I can't prove that.