Thanks, Glenn.
I think I stumbled upon an answer in that I turned off all sharing between Windows and the Mac, then installed TMG with the "as shipped" defaults.
That seemed to solve almost all of the issues. I think it may effectively be the solution to which you refer.
When the VM transparently maps My Documents in XP to Documents in the Mac domain, which seems to confuse the dickens out of TMG.
The issue didn't seem to happen in my earlier configuration of Tiger/Parallels/XP Pro, but I didn't share data as extensively at the time.
I'll go back and try switching on sharing and map a few drives and see what happens.
Regards;
Gary