How to configure Internet Explorer to open Office documents in the appropriate Office program instead of in Internet Explorer

In Windows XP

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, click Folder 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 Restore).
5. In the Edit File Type dialog box, click to clear the Browse in same window check box.
6. Click OK.

Additional information: http://support.microsoft.com/kb/162059