From my experience, most users prefer to have the documents launch in the host application and thereby retaining the web page they opened it from behind it. The setting that controls this behaviour is located in Windows Explorer (not Internet Explorer) on the user's machine.
- Open Windows Explorer.
- Select Tools -> Folder Options... from the menu.
- Go to the File Types tab.
- In the Registered file types list, select the file you want to change the setting for (e.g. DOC).
- Click the Advanced button to open the Edit File Type dialog.
- At the bottom of the dialog there is a checkbox, Browse in same window, where you can specify whether the selected file type should be opened within the browser or launched in its host application when clicked on a web page.
You can either let the individual users choose their preferred setting or push it out with a policy. Remember to change the setting for all of the Office file types for consistency.