Cannot install Parallels tools on Linux

I tried to install Parallels tools on a new Kali Linux installation following these instructions:

https://kb.parallels.com/en/129740

At step 4, it says you have to double-click on the Install-gui file. That's supposed to present you with a Parallels Tools Installation wizard, but for me, it puts up a dialog titled "Set Default Application". (A screenshot is attached of this.) It shows all these applications. Should I choose one? What's going on here, anyone know what I should do or how to get past this?

 

It seems that when Kali Linux (or Parallels?) mounts the CD image, it does so using USER option and that comes default with noexec setting. To fix this, open Disks application (in Kali), select the CD/DVD drive, click on the "Additional Partition Options" (gear looking icon) and select Edit Mount options. Then alter the mount settings "user,noauto" to include the exec option. You may need to reboot the VM to pick up the change. Although someone with more Linux knowledge might know of a way to get this accomplished without rebooting the machine.
Open the Parallels Tools DVD looking icon. Then right click the Parallels Tools CD in Thunar and select open as root. Then double click the install-gui program in the new Thunar window and it should start. I have no idea if this will run successfully under a non privileged user account.
I found that before the reboot, the installer would start, but errored out and did not complete.