These instructions should work with 16.04 and 14.04
Select the VM, goto Actions --> Install Parallels Tools..
If you would like to manually load the tools, the location for it is:
Once the guest tools iso is selected simply run the following to install the guest tools:
$ sudo su $ apt-get install gcc make $ mkdir -p /media/cdrom $ mount /dev/cdrom /media/cdrom $ cd /media/cdrom $ ./install
Follow prompts to install tools, reboot
Host shares should now be mounted in Ubuntu guest under /media/psf via the installed prltoolsd service, set to start on system boot-up.