"Parenthetical" is a big, weird word, but it really just means parentheses. You know, those curvy characters above the 9 and the 0 on the keyboard. (Like this).
Using parenthetical citation means that you put a very brief bit of your works cited information into parentheses at the end of the sentence or section where you have used information from that source (Freeze 2). <--- Like that. The number after the name is the page number where you found the information.
Here is a web page with good information on parenthetical citation:
LEO: Literacy Education Online