Oh my goodness, my moment! I'm an evolutionary biologist who studies parasite immune evasion -- which is what you are asking about: how do parasites evade the immune system. The answer is: antigenic diversity and variation, and I'll tell you what that means.

First, keep in mind that everything is happening at the level of the cells, the white cells in this case. Cells don't have eyes or noses, of course. The way they detect something in their environment is by interpreting the molecules around them. Immune cells are programmed genetically (and further through their development) to be able to tell which molecules (usually proteins) are "self" (from your own body) and a-OK and which proteins are coming from something foreign, which is NOT-OK. (When an immune cell has trouble telling self from non-self then you get autoimmune disorders where your own immune system attacks your own tissues like they are pathogens that cause disease and that makes you sick, but that's another story.)

When a parasite enters a host they are covered in their own proteins, of course, which will also tend to fall off into the environment or the cell they are invading (many parasites, unlike this worm here, are actually intracellular). These foreign proteins are detected by the immune cells and they go to work. Any protein that promotes a response from an immune cell is called an antigen. The thing is, a really good vigorous immune response is not immediate, and actually takes about 48 hours to even start to mount anything effective. However, once that immune response against the antigen from that pathogen is mounted, it (the immune response) stays with you for life and will kill those bastards very quickly rather than taking days (this is called a "memory cell" response). This is why you can't get the same sickness twice and how vaccines work. (This is a bit of an over-simplification, but it gets the point across and this is already getting long.)

Now, you might ask, but then why do I get the flu every year if I am supposed to only get it once? The reason is that the genes that code for the antigenic proteins of the flu virus have mutated (changed their sequence) enough over the year that this memory cell response no longer recognizes that particular protein or the virus. It's like you are getting a new virus. This mutating of antigens so the pathogens can keep infecting the same host is part of what we call the "arms-race" of host-parasite coevolution, and man do I love that stuff. This is also, as you can imagine, why we need a different flu vaccine every year, to stay ahead of the genetic evolution of the viruses.

Now, when you get to parasites, we aren't talking anymore about viruses or even bacteria that have relatively simple genetic systems. Parasites are eukaryotes (like plants and animals) and have large genomes with lots of genes and can evolve in very complex ways. These guys can evolve new antigens (antigenic variation) in just a matter of days, rather than months or years. And some parasites have a whole repertoire of different antigenic genes (that are also changing and evolving rapidly) and can they can express these different genes one at a time, effectively setting up a system where the host's immune system will never be exposed to an antigen that it can recognize. Ever wonder why there's no malaria vaccine after 45 years of research? Now you know.