The reason why the Office documents work is because in newer releases they can access network locations directly and they have also been adapted to the security settings accordingly. The usual causes for the observed behavior that you can not open directly by clicking on the link are in most cases one or more of the following:
- Global policy settings (GPO) that disallow direct access of linked content through associated programs
- GPO is in effect to not allow download of temporary files via IE
- Security patches have been applied that cause to restrict access, such as the ones outlined in http://support.microsoft.com/kb/902225
- Not properly setup MIME settings to associate file types with the executables
- Temp files are not setup properly
As workarounds the following can be done:
- Use Firefox instead of IE
- Right-click on the file and save it first to the file system before opening it manually
1) Change environment variables either thru Registry or Computer property link for Temp & Tmp variable From %USERPROFILE%\Local Settings\Temp to %USERPROFILE%\Local Settings\Temporary Internet Files
2) Move Folder to C:\Documents and Settings\userid\Local Settings\Temporary Internet Files\Temporary Internet Files.
by selecting folder C:\Documents and Settings\userid\Local Settings \Temporary Internet File