Windows Documents...Open in Mac Please.

I've used Parallels for awhile but I just got a new MBP so I had to reinstall. Well, I have a work environment I'm using in Windows with work related documents. I am unable to open them natively in my Mac. When I go to open a .xls, .doc or .pdf it will continually ask me which program to use (Windows method of telling me I don't have that software installed). I have chosen my Mac programs to run that information and checked the box to do that ALL of the time. However, after this last update it continues to ask me which program to use those files with.

Is there a way in the settings to have every file just automatically open using the relative Mac programs? Thanks in advance.