I'm afraid I can't reproduce this with Windows XP--could be a windows 7 only issue.
It does make a difference whether you insert the file by reference or not. Files inserted by reference can be opened with a double-click. Files inserted as actual copies must be exported via "Export Field contents" in order to topen them.
as mentioned in my original post: this is a Win 7 issue, in XP it works as expected (and experienced by you) and happens ONLY with *.doc file (docx are fine, as well as pdfs, jpgs or gifs)
Nevertheless for me this is a bug, since many of my customers still use the "old" word file format and Win 7 is on the market since one year with increasing spreading.
I'm not about to say it is or isn't a bug. I'm just reporting my experiences to help clarify the issue. Works with XP, not with Windows 7 is an important detail for the tech folds at FileMaker Inc. to know.