Anything else I'm no doing?
Just in case anyone else is trying to do this and have had no success I've just tried something that has worked.
If you don't want windows program or file icons appearing in the Mac Dock when these are open in your windows OS:
1-Click on virtual machine (it's ok if it's running)
2-Click on Configure
3-Click on Shared Applications
4-Where it says "Show in Dock - Always"
5-Change that to "In coherence mode only"
And it works. Please note that i'm not an experienced user and i've had this for 3 days so please take all precautions before following these instructions. And there is an option on step 4 where it also says "Never" - use this at your own risk cos i didn't try it. Good luck!