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