The problem with links like this is by default, Word will open inside of Internet Explorer, which is just ugly and makes Word functionality harder to use than it already is. Here is how to turn it off (I am using Microsoft Word as an example):
Open any Windows Explorer window, then go to the Tools menu, Folder Options, and click the File Types tab which gets you something like this
Click your file extension, e.g. DOC, that you want to change and click the Advanced button. You will see something like this
Uncheck Browse in same window and click OK and then Close.