Hi,
Sounds like a feature that I personally don't use.
Have a look at the following, "Virtual Machine" menu -> "Settings" -> "Default Applications"
Is the top option checked? eg. "Open your Mac files and web links using Windows applications".
Also verify the following: "VMware Fusion" menu -> Preferences -> "Default Applications" tab and make sure that the open web pages bit is unchecked.
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Wil