The way to do parallax scrolling is admittedly fairly unlikely - it involves using the Background System Object, and even though I've used this object for backgrounds myself, I still have no idea as to its real purpose. I learned everything I know about it from this article by Circy, which is well worth reading:
There's no shame in not working out paralax scrolling on your own. I mean, who the hell would think to use the Background System Box object?! Can't wait till MMF, apparently they're just gonna have independent background layers, which is cool.
Make sure you're fully updated with your MMF though, becuase the non-patched version has problems using the Background System Object, gives some weird bugs.