This happened a couple of weeks ago when I was giving a talk. I could not nail it down until today (actually yesterday, but I am still in airport with flight delays) when it happened again, in the middle of another presentation.
On the Mac, when I asked it to open an IDEA ipr file (using quick sliver), it suddenly came up with a dialog asking me if I want to open the application within Windows. "Heck no" was my response. Then it started asking this question for all kinds of files I was trying to open.
First, what seems to trigger this? I upgraded to Parallels 3.0 a few weeks ago. Every thing seems to be normal until I start IDEA within Parallels. I use IDEA mostly on the Mac, but when I give my "Java 6 Features" talk, I bring it up within the Windows Vista in Parallels. Right after this, when I try to launch applications on the Mac, it wants to open them in Windows.
I am not sure if this is the only action that causes this "feature" to be activated. Here is what I did to perform a quick fix. In Parallels, I click on "Applications" menu, and select "Reset Windows Application" menu item. This is only a quick fix. I hope to find a better solution for it.