Open with dialog box doesn't list the Mac application, Mac app locations on windows

I was searching for a solution to this and thought others might find it helpful.

I wanted to open PDF's from Windows in Preview, but when I chose "open with" Preview (Mac) was not an option and when I clicked on "Browse" I didn't know where the Mac Apps were located on Windows.

All you have to do is go to:
C:\Users\<username>\AppData\Roaming\Parallels\Shared Applications
And choose the application you want to use on the Mac side.

If you forget that path, open the start menu, click All Programs, navigate to "Parallels Shared Applications", right click on any program and click "Open file location", which will take you to the path above.