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Windows XP Tips, Illustrations and registry edits
When you click an HTML link to a Microsoft Office file (such as a Microsoft Word or Excel document), Internet Explorer may open the file in Internet Explorer, instead of opening the file in the appropriate Office program.
This behavior may occur if Internet Explorer is configured to host documents for Office programs that are installed on the computer. By default, Internet Explorer is configured to host documents for Office programs.
To configure Internet Explorer to open Office files in the appropriate Office program instead of in Internet Explorer, use one of the following methods.
Example: For .CSV files, you can use the above procedure and uncheck Browse in same window option for Microsoft Excel Worksheet. This is applicable for .CSV, .XLS and other file types handled by MS Excel.
More information, and registry editing method available at: How to configure Internet Explorer to open Office documents in the appropriate Office program instead of in Internet Explorer