Some installations/setups of windows/internet explorer seem to prefer to open especially office documents within the browser-window, instead of starting word or excel and showing the document there.

So it turns out, that this is actually a setting of the windows explorer. Just go to Tools\Folder options\File Types select a file type of your choice (preferably a type, which is being opened within IE) and then remove the check from the setting open in same window from the extended properties page.