Open My Computer.
On the Tools menu (or the View menu), click Folder Options (or click Options).
Click the File Types tab. In the Registered file types list, click the specific Office document type (for example, Microsoft Excel Worksheet), and then click Advanced (or click Edit).
In the Edit File Type dialog box, make sure the Browse in same window check box is checked and make sure the Open Web documents in place check box is checked
Click OK.
http://support.microsoft.com/kb/162059