Clicking on an MSDN URL in MS Word document opens it in IE only

Question

Now that heading doesn't look like it is a problem. Here's the full scoop.

Paste this link into an MS Word document.

http://msdn.microsoft.com/en-us/library/dd264736.aspx

Click (or Ctrl + Click, whatever your settings are) on the link. For me, it always opens up in IE, whatever my default browser happens to be.

Now, copy this link into the same MS Word document:

http://stackoverflow.com/users/303685/water-cooler-v2

Click on the link in the MS Word document and cast a few votes. For me, the link opens up in my default browser, which, for the moment, happens to be firefox.

In a nutshell, I observe that every MSDN link you click on from, say, within an MS Word document, opens up in IE, no matter what your default browser is set to. Could someone please explain this behavior?