This was a really annoying *feature* of Office. If I click on a link to a Word doc, it opens the document in IE. Here at Microsoft a lot of our docs are stored on internal SharePoint sites, which are webpages. When I try to open one of these docs, it'll open in IE. Or, I have to save it, find it in File Explorer and open it there to get it to show up in the Office app.
The main reason this is annoying is that you don't get the Office toolbars to show up and its nearly useless for editing (fine for reading but still annoying). Anyway there is a pretty convoluted way to fix this, so .doc, .xls, .ppt files actually open in the associated Office program instead of IE. Follow the directions in the following doc: