VPN files on PC wont open

Hi all. Total newbie so forgive any ignorant comments. I am running Mac OSX 10.6.6 on a mac pro and windows 7 on parallels 6 (installed new today). I have created a VPN connection on windows 7 to view files located on a hosted server. I can see these folders and files just fine on the virtual machine in explorer. Problem is when I click on a file ( e.g. a word doc) it opens the word programme on the mac locally but only a blank new document and not the file I have selected. I can only seem to view files on the virtual machine (windows 7) that are saved on the virtual machines desktop. I have spent ages making sure the settings in parallels are set to share windows files but am obviously missing something obvious here. Its really odd that explorer on the virtual machine can see the files but not actually open them. What I eventually want to do is create a shortcut on my mac and run parallels in coherence so that the short cut will open the files in the VPN connection using locally installed programmes such as word and excel on my mac. Does anyone have a list of "to do's" that can help me. 8 hours today including an IT techy (admittedly with no mac knowledge) to no avail. Please please share your tips.

Thanks

Desperate Newbie