I actually had a couple of friends go through the dance auditions for Disney.
They both got offered jobs, too. biggrin
The parade auditions are relatively simple. They will teach you some choreography and then you will get in a line and march across a room, doing the routine. If you can move your hands and your feet at the same time, you should be pretty good. Just try to keep your line straight. Keep at least one person in your peripheral to make sure you're still pretty much in the same place.
My friend's advice is to simply relax, pay attention, do your best, and, most importantly, have fun. They want to see that you can learn choreography and that you enjoy expressing yourself through movement. If you find yourself making a mistake, don't worry about it. Just get back on track as quickly and smoothly as possible. And don't EVER give up!
The great thing about Disney is that they look for potential. They know they're going to train you, so just enjoy yourself!
(As a side note, I auditioned for Universal Studios once. The dance routine they taught us was INSANE. It was this Michael Jackson-inspired dance that was incredibly difficult for anyone without at least a little dance training. I was in the first group and about halfway through, I got super lost. So I just started jiving, making up random moves until I figured out where we were. At the end of the routine, they didn't tell us to stop, so we all just freestyled. All these people around me were doing these crazy dance moves and I was just standing in the middle, doing the sprinkler. But I got offered a job, so I guess I did something right. xD )
Edit Also realize that if you don't get offered a job, it most likely has nothing to do with your marching skills. Places like Disney and Universal have very specific size requirements when it comes to their costumes. They may be looking for people under 5'2" or over 6" or something. It all depends on what characters they are casting for. You should always go back and audition again if you don't make it.