I was able to do some digging and got some results. The company apparently was named for the steamer "J. F. Pargoud," and its captain, John W. Tobin, was involved in the formation of the company in May 1861. Officers were elected June 1: Captain John Kemp Sprague, 1st Lieutenant Joseph H. Bass, and 2nd Lieutenant Henry W. Walsh. Some of the men were given drilling in the French Zouave tradition, but I found no indication they had Zouave uniforms. The company was mustered into Confederate service on June 25 with 92 men. On July 4, Sprague announced the nickname was being changed to Surget Guards in honor of Eustace Surget. This may have been in recognition of aid Surget provided. The nickname Pargoud Volunteers seems to still have been used after July 4 by some. No information on when the company left New Orleans or joined the 1st Missouri.