Un-integrate Parallels for Mac OS X
Power off your VM, open Parallels Desktop, select the VM you wish to modify then in the menu bar select Virtual Machine -> Configure...

You'll get a Options window where you can change all the settings of the VM.  Specifically to your application problem, you can modify those settings underneath Options -> Applications.  I'd uncheck "Share Windows applications with Mac".

After completing that step you'll need to manually rebuild the LaunchServices database.  Open Terminal and run the following (without the $):

 $ /System/Library/Frameworks/CoreServices.framework/Frameworks/LaunchServices.framework/Support/lsregister -kill -r -domain local -domain system -domain user
 $ killall Finder