Open MS Office documents on Windows 7 guest VM in OS X host using Office for Mac
Once you've checked the "Open your Windows files and web links using Mac applications", the following should work (providing the file resides in one of the folders shared from the Mac according to this VMware Fusion guide):
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Right-click on one of the file types you wish you open in the VM and click "Open" or "Open With..." if the program already has an associated application (if you selected "Open", in the window that appears, check the "Select the program from a list of installed programs" radio button and click OK).
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In the window that appears there should be a VMware icon in the top-left that says "Default Host Application", select it and click OK. (You can also check the "Always use the selected program to open this kind of file" so that it opens with the host application next time too).
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If the VMware icon is not in the top-left, you may have to drop down the list with the "Other Programs" heading and you should see it there instead.
The document in the VM should now open in the default application on the host. For example, a pdf should open with Preview and a docx with Word for Mac.