"Parrying Missile Fire" as explained on page 15 of RMC Arms Law is a distinct and separate action that needs to be declared (the description allows the cancellation of another action and the the"Missile Parry" so long as you have enough activity remaining).
Parrying is the act of reducing one's overall offensive capabilities to increase their defensive capabilities.
Now to your specific questions...
Some questions concerning the actual mechanics of the parrying:
a) If a character gets a "Must Parry" result, e.g. from a previous directed spell attack, would his parry also apply the next elemental bolt fired at him? I am not sure as Missile Parry might be a completely different action and perhaps not allowed in this state. [I guess yes.]
If he receives a "Must Parry" result, then he must parry the following round. He must still declare a Missile Parry, and meet the conditions listed on page 15, and follow the conditions layed out in the "Must Parry" description in order to for him to parry another elemental bolt.
A "Must Parry" result does not automatically mean that his "parry" will automatically be a missile parry.
b) What if the defender is "Stunned", would he be allowed to parry? Would the OB be halved as for melee attacks? [I'd say yes to both.]
Yes, and again, he must still declare the missile parry and meet the conditions for doing so.
c) What if the "Must Parry" or "Stunned" result was from a previous melee attack, e.g. by a comrade of the mage, and the defender does not yet know of the mages directed spells, would he still parry the attack when he is actually facing the mage and being forced to parry? [I guess not unless the defender somehow perceives that a bolt is being fired at him.]
And again, he must meet the conditions of the missile parry in order to perform it. If he is in melee with another foe, and a mage decides to send a shock bolt at him, he must know that is under attack in able to declare the missile parry.
Thus, in this last example, he turns and sees the mage casting. However, he has no idea what (unless he has something like spell lore) and no idea at who the mage is casting at (though if he is by himself, he can likely guess, unless his name is Groo). So while he can take a wild guess and declare a missile parry, he isn't really sure and could be shorting himself.
And here is something else to think about. You can call it a quirk of the system.
As I pointed out, Missile Parry is a specific, declared action. it is an action that requires 50% activity. The leaves only 50% activity for other actions, including OB. And according to the tactical system rules, you need to subtract activity modifiers (and condition modifiers) before doing an OB/DB split. And according to the rules, you can have both a Missile Parry AND a Melee Parry in the same round.
This would make it appear that you can never use full OB while doing a Missile Parry. That you must always subtract 50 from the OB before deciding how much you are apply to Missile Parry and how much you are applying to melee parrying.
It would also mean that you need at least a minimum OB of 51+ with your weapon before you can even attempt a missile parry. If you are under the effects of "Must Parry" or "Stunned", you would need a minimum 101 OB to perform a Missile Parry since you only get 1/2 your OB, and that is before the -50 is applied to your OB because of performing the Missile Parry.