For some time at work, I had this really weird problem, in that I couldn't open any links to Office documents from wtihin Internet Explorer. A google search revealed a lot of fixes involving disabling page transitions in IE, or adjusting cache sizes etc. All of them didn't do the trick for me, until I came across this link on Jeff Widmer's blog:
Basically, the issue is on a box that has had Office 2003 and Office 2007 installed, and the beautiful fix is to rename the
OWSSUPP.DLL file in the C:\Program Files\Microsoft Office\Office12 folder.
Lets not discuss how elegant that solution is, but give our minds some peace by accepting that the problem is now gone :-)
Update 11/11/2008 - Turns out, that simply renaming the OWSSUPP.DLL file doesn't fix the issue. Apparently, there is a compatiblity issue with the Office 2007 version of this file. The solution is to copy the one from your Office11 folder. So, rename your OWSSUPP.DLL in the Office12 folder, copy the one from you Office11 folder, and register it. To register the DLL, open a command prompt by running the cmd executable, and navigate to your Office12 folder (see above) and issue this command "regsvr32 owssupp.dll". This will give you an error message, but the registration still was successful. Test it by opening an office document on a SharePoint site.
Hope this helps.