With the VM running, go to the Parallels Desktop, Applications menu, Smart Select Edit menu item. Select the Windows application that you want to change the settings for (for example, Microsoft Office Word). You should then be presented with a list of various file extensions and radio button selection options for using either the Mac or Windows app to open those files. Select away. Repeat for any other app.
If you do not have any apps listed in the Smart Select Edit menu item, you may need to run the Populate commands higher on the menu (one for Mac apps, one for Windows apps), then try again.
This has been a bit of a flaky feature for me, but I finally have it working the way I want for the most part. One other thing I needed to do to get things working correctly is to open either (or both, I'm not sure which did the trick) the Mac app and Windows equivalent with the VM running then do the Populate thing. Prior to doing that, the list of extensions was missing many that seemed like they should be obvious (templates in particular).