You can use this folder to quickly access your Windows applications by clicking folder with Windows logo in Dock.
(Note: For each virtual machine a separate folder with Windows applications is created  corresponding with the name of virtual machine)

This feature will ease and speed up your access to Windows applications, especially if you are running in Crystal view mode. The popup menu is completely syncronized with Start Menu in Windows and all application you have in Windows will be accessible from Windows Applications folder in your Dock.
 

Note: This option is available only when Parallels Tools are installed in the virtual machine and the Isolate Mac from Windows option disabled in the Security pane.