As a SharePoint support professional, I often run into the statement, I don't like how certain documents open from the web with Internet Explorer, specifically in regards to SharePoint. The Product Group has done some work to make sure Office documents open in the client applications themselves. This is done via some magic inside of the ows.js file, which contains the method, SharePoint.OpenDocument. By doing things this way, we avoid the need to set specific settings on the client. If you're not opening an Office document, you may not like how a specific document type opens. One of the more common ones is text files. IE will open these inside of IE for reading purposes. Some folks would like these to open directly from Notepad. So, how do you do this. Well, the settings as to how to do this reside on the client machines themselves, so you'll have to make the change on the client. The following link shows a great walkthrough as to how to do this on a Windows XP machine.
This works great, provided you're using XP. So you may ask, I don't see those options for my Vista machine. As far as I can tell, we have removed this functionality from Vista. (Someone please step in here if I'm wrong) If you want to do this, you'll need to make a registry modification. As always, if you're working with the registry, BE CAREFUL AND TAKE BACKUPS! Doing a little research has shown that the following tool should allow you to make these changes in Vista. I've never used this tool, so try it at your own risk.
Here are a few more related links that will provide a bit of an explanation as to how the process works. Pay attention to the fact that these documents are not SharePoint specific. ( I couldn't find any Office 2007 version documentation)