I have noticed that if i set the parking brake with the engines on, the plane keeps on moving!! When I press the brakes she keeps on rolling!! What's up with it anyone else having the same problem??

Check your throttle calibration, particularly if you use FSUIPC... Andrew

Be more specific. I have the same problem and what do I check for?

You have fried your brakes. Please refer to your PMDG 737NGX Introduction document page 0.00.60 and 0.00.94.