Update: PlayOnLinux have finally added this feature so you do not need to do this manually any more! But you still have to add "$(echo "$@" | sed -e 's:/*/::g')" in the end.

First make sure you are showing hidden files by open homefolder. Click on edit then preferences and tick the bar. Close the window.
Then you type the command

sudo nautilus

Type in your password. Then you will need click yourself to top of disk. Then go to usr/share/applications. There try to find the word icon. If you dont finde it then copy the icon from the desktop and paste it in the folder. Right click on the icon you just pasted and click on properties. Change the "command" to

playonlinux --run "Microsoft Word 2010" z:%f

(Make sure to teave the " in) For Powerpoint you just change "Word" to "Powerpoint" And if you are running office 2007 you just change "2011" to "2007"
Do this with all the icons you want to set file associations for. Then close the Window.

If you have the updated program start from here:

Then open home folder. Click on .playonlinux/shortcuts
There you will find different files named exel powerpoint and word. Open one with notepad.
The file should look something like this:

#!/bin/bash

[ "$PLAYONLINUX" = "" ] && exit 0

source "$PLAYONLINUX/lib/sources"

export WINEPREFIX="/home/leo/.PlayOnLinux//wineprefix/Office2010"

export WINEDEBUG="-all"

#POL_Log=Microsoft Office 2010_1336312516

cd "/home/leo/.PlayOnLinux//wineprefix/Office2010/drive_c/./Program Files/Microsoft Office/Office14"

POL_Wine "EXCEL.EXE"  $@

In the end change $@ to

"$(echo "$@" | sed -e 's:/*/::g')"

(leave " in!!) You have to do this with every application you want to set associations to.

Now go to the file you want to open click open with and other applications then show other applications and you should see word and powerpoint. Click on it and is should start. You have to repeat this with all the apps you want to set associations to.
Hope it will work!

Update: PlayOnLinux have finally added this feature so you do not need to do this manually any more! But you still have to add "$(echo "$@" | sed -e 's:/*/::g')" in the end.