The awesome and bloggerific KC Lemson points to a Knowledge Base article that describes how to tell Internet Explorer to leave your Office documents and files alone when you're opening them from a web server via hyperlink. We use SharePoint where I work, and it can be downright annoying at times when a document opens in-line in Internet Explorer when what I really want is for it to open in the application that was used to create it.

This is easy but good stuff - excerpt from the KB article:

To configure Internet Explorer to open Office files in the appropriate Office program by using the Folder Options tool:

1. Open My Computer.
2. On the Tools menu (or the View menu), click Folder Options (or click Options).
3. Click the File Types tab.
4. In the Registered file types list, click the specific Office document type (for example, Microsoft Excel Worksheet), and then click Advanced (or click Edit).
5. In the Edit File Type dialog box, click to clear the Browse in same window check box (or click to clear the Open Web documents in place check box).
6. Click OK.