1. Open the Windows Explorer and click on My Computer
2. From the Tools menu, select Folder Options
3. Select the File Types tab, wait for the Registered file types section to populate, then scroll down to DOC.
4. Press the Advanced button and remove the check box from the "Browse in same window" option.
5. Press OK, then Close to exit back to the Explorer

You may need to reload the page to reset the action, but subsequent openings of the Word document link will allow you to save to disk, or open in an external application.

You can also do this manually by adding the below to the registry:

[HKEY_CLASSES_ROOT\Word.Document.8]
"BrowserFlags"=DWORD:00000008

For Vista users, the opposite is the default; the document will open in Word, not the browser. If you want to change this, you're out of luck as Vista has done away with the file types management XP allowed. You have to manually go into the registry and delete the value. Be warned however, this will allow the document to open in the browser, but Word will visibly open as well.

You can go a third-party route and check out IECache from Optimumx.com.  This little freebee lets you display or delete the IE cache from version 3 on up.  It comes with the ability to filter what you delete, so you can save things such as cookies while deleting the rest.