Cannot open Office docs from an OL 2003 SP2 hyperlink, but can open PDFs? "IE cannot download..."

We cannot open Office 2003 documents from a hyperlink in Outlook 2003 SP2,
but PDF files open fine. The links point to documents on our Intranet server
using the fully qualified name. This used to work when the Intranet server
was on NT 4 but doesn't work now that it's on Server 2003 SP1. Laptop is XP
SP2 Pro.

The message we get is

"Internet Explorer cannot download (...file name).doc from
intranet.ourcompany.com

Internet Explorer was not able to open this Internet site. The requested
site is either unavailable or cannot be found. Please try again later."

Sadly, we get the message when we click Open or Save from the File
Download -Security Warning box, so it obviously can find the site. PDF files
work fine. The permissions are identical, in fact the PDF files are in the
same folder.

Any guesses would be greatly appreciated.

Thanks,

Ray