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?