Progreso (one s) was a fun stop for us even tho we didn't do much there.
They probably do have parasailing.
You cannot walk to the town, you must take the free shuttle that takes you from the ship to town along the 3 mile pier.
At the shuttle stop in town is a market. Spend some time there as you will find some really neat stuff for gifts etc.
From there you can walk to the beach and find the Malecon, the street along the shore.
You can get an hour massage on the beach for cheap!
You must vist a favorite place that Snoozeman turned us on to...Le Saint Bonnet
. Great place to relax and eat/drink. It is along the Malecon.
I have map on here I will link....
If you want to you can take a bus/taxi to Merida, the capital. This is more of a city than Progreso is. There is alot of shopping in Merida. I can't think of the street name but it the one where the Burger King is along. This is the area we did some nice shopping. Look up along the street. There are some shops upstairs you may miss if you don't look around.