I have some documents stored in a document Set.
I noticed that opening the file by clicking on it in the document set produces a different behavior than taking this exact same link and putting it on a browser.
using IE, when clicking on the document, I get this dialog box:

but when I copy the shortcut and use it directly in the browser, i get this dialog box:

same thing in Firefox:
when clicking on the document, I get this dialog box:

but when I copy the shortcut and use it directly in the browser, i get this dialog box:

What can I do in order to always open the document in a way similar to clicking on its name in the document set?
I am using SP 2010 enterprise edition. site collection is using publishing template.