The interesting thing was that IE would connect to the built-in web server on the Mac without problem (using the Shared Network setting, I could also connect to any other web site.) But I couldn't connect to the development server either via IP or via the computer name using Bonjour for Windows.
I was puzzled until I looked at the options for dev_appserver.py and saw that it binds to a specific address (by default to localhost). Ah, eureka!
I got it working by starting the development server and binding it to the local IP address of my Mac (which you can find at the bottom of the System Preferences panel once you have Personal File Sharing enabled).
cd myapp dev_appserver.py -a 10.113.127.29 .
I wasn't able to get it to work with the computer name from Windows by binding the server to it although it worked on the Mac and Bonjour for Windows was enabled in Internet Explorer -- it just did not see the server.
I hope this helps someone else save a little hair.
Now if only there was a quick fix for things looking crappy on Internet Explorer 6 
The Testing Google App Engine apps in Internet Explorer on Windows with Parallels on OS X article by Aral Balkan, unless otherwise expressly stated, is licensed under a Creative Commons Attribution-Noncommercial 2.0 UK: England License.
Haha, great - I was having the same problem. Couldn’t get windows to see local dev site through parallels. I was thinking the issue was related to the VM using shared vs. bridged networking. Going to try this, thanks.
To avoid rendering problems in ie6 is really easy - just don’t use the following: float, margin, padding, position, div, width. Simple, really
Thanks! I was having the same problem yesterday!!!
Had a similar problem using MAMP and it took a while to connect up to it and I share your grief Aral
As for IE6 heres a great hack
body {display:none;)
Hey, I like the body {display:none;} hack