What type of file is it that you're opening?  Most of the shared-file content on my installation is either pdf or an office doctype (xls, ppt, doc).  I don't think I've changed any of the default settings, and it's currently opening pdfs in a new tab without changing the location of the page itself.

Are you sure it's not a conflict in your own browser config?  If you're in IE, maybe try it in FF to see if it's still doing it.

Good luck!

Kevin