I'm experiencing something similar - I get a modal progress box in Office saying that it is downloading the file, which takes 5-10 seconds. The progress bar for the download stays at zero until the last fraction of a second. This started about a week ago. I didn't change any settings, though it's possible Microsoft changed something in Windows I don't know about.
Fusion 5.0.3
Windows 8
Microsoft Office 2010 and 2013
MacOS 10.8.4 (current Mountain Lion, with all updates)
15" rMBP (mid-2012)
Oddly, PDFs and other files don't appear to be affected.
Tim