Mac OS won't recognize Windows file association when using Parallels Desktop 3.0 with SmartSelect.
Windows application associated with the Mac OS file's extension doesn't appear in the Open With... list for this file.
Parallels Desktop hasn't registered this file association yet.
SmartSelect is a feature that allows you to open Mac OS files in Windows environment and vice versa. To be able to open a Mac OS file in a Windows application associated with it, you should launch this application directly in Windows OS, at least once. After that, this application will appear in the Open With.. list for any Mac OS file with the extension supported by this application.
Note, that you need to enable Host to Guest file sharing - Global sharing or Local sharing options in Configuration Editor - to use this feature.