Yeah, I have gone around in the office and *most* of the computers here are doing the same thing (I tested 6, one could open the Excel docs, csv but not Acrobat, pdf. All the rest are doing what mine is). We are all running the same versions of IE too. This really sucks.
Update: So, testing different file extensions and different computers produces a very wide range of results and all of which are very inconsistent (which is no good). My conclusion: This header's implementation in IE is not too reliable :)