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First make sure you have sharing feature enabled (Settings -> Sharing)> Second make sure that the file you're trying to open is on an HGFS share so that it's visible to the Mac OS Host - either use the 'Mirrored Folders' setting for your home folder etc. or create an explicit HGFS Share. If it's still not working then...

If you're experienced with the DOS command prompt it would be helpful if you could try running the 'Host Proxy app' from the command prompt and reporting back what it says.

From the command prompt type (assuming you have the VMware Tools installed in the default location) :

"C:\Program Files\VMware\VMware Tools\VMwareHostOpen.exe" --file Z:\path\to\a\file.txt

The above example assumes you have a HGFS Share mapped to drive Z with a file to open in it. You can also open URL's in the host by using --url http://www.vmare.com instead of --file

Trying both a file and a URL could be helpful too.