Clients ask this all the time and seem to think its SharePoint related....
If you're using IE and follow a link to a Microsoft Word document and IE open’s the document within the IE window and you prefer to start a separate Word instance and load the document in that instance, you need to make an OS-level change.
Please perform the following steps:
1. Start Windows Explorer (Start > Run > Explorer).
2. From the Tools menu, select Folder Options.
3. Select the File Types tab.
4. Select the file type that you don't want to open in IE and click Advanced.
5. Clear the "Browse in same window" check box and click OK.
6. Close the Folder Options dialog box.
-Ivan