By default, when you click on a link to an Office doc (such as on a sharepoint site), IE will open the doc in-frame. For just viewing docs this is usually OK, but it can get annoying as not all features work in this manner. So if you'd rather have IE just open the doc in the appropriate application, follow the instructions in this KB:
1. Open Windows Explorer
2. Go to Tools | Folder Options | File Types
3. Select the appropriate file type like XLS/DOC/PPT and click Advanced
4. Uncheck "Browse in same window" and OK out of all dialogs
Ahhhhh. Much better. I didn't realize that was annoying me until I read about how to turn it off.
Many thanks to Patrick for passing along this tip on his internal blog (yes, we have internal blogs here at Microsoft); it's such a great tip, I wanted to make sure it was blogged externally.
[Update 9/12: Greg shares how to make PDF files open in Reader and not in the browser]