Multiple softwares use protections that restrict running under a virtual machine. Such is the case for most Nexon games. These protections usually read and recognise typical registry keys that hint that the machine is a virtual machine. Typically for such protection, the error reads:

Sorry, this application cannot be run under a virtual machine.

In order to bypass the protection, you can open a registry editor and navigate to HKEY_LOCAL_MACHINE→Hardware→System and delete the contents of the "VideoBiosVersion" registry string (do not delete the key itself).

After installing Parallels Tools (to check, issue ps ax and verify that prltoolsd processes are running), shared folders will be automatically mounted on Linux at /media/psf.