Setting default directory in Open/Save file dialogues

I have just installed parallels 8 and the default file location seems to go to my Mac. I have chosen to set Parallels to "look like a pc", since I want the files and apps to be separate, like I want to quarantine them. A couple things are odd: the windows desktop shows the files on my Mac desktop. I don't necessarily want them there, but rather just the files that are on the windows desktop. Secondly and much more important: when I go to save or open a file, Parallels wants to make me go to Documents on the mac side. Each time I have to drill down and go back to the windows side or click on the favorites that do show up on the windows side, but this is a hassle and takes extra time. I really just want it to go to a folder inside My Documents and keep it that way.