Since Parallels Desktop 5, working with Shared files and Folders is even easier and more convenient. Just right-click the file in Windows and choose Open on Mac from the context menu to open it in a Mac application. For example, if you right-click a .txt file and select this command, the file will be opened in the TextEdit application. PDF file will open in Preview (or other default application, e.g. Adobe Reader) and so forth.
Parallels Desktop also allows you to show files and folders, located in the virtual machine shared folders, in Finder. It may become useful if you want to perform various actions on the object, for example, to apply color to it. To display a file or folder in Finder, right-click it and then choose Show in Finder from the context menu.
Note: To use these functionalities, you should have Parallels Tools installed in the virtual machine.