In order to open documents directly in the client program, you need a custom Open Documents control (which needs to be available on client machines), and a reference in that control to the docicon.xml file on the SharePoint server (so this may not be possible for SharePoint online). Here is a blog post with some sample code for how to go about doing that. Note that the blog discusses PDFs; since Acrobat/Reader X all you need is the entry in docicon.xml to AdobeAcrobat.OpenDocuments - it is possible that your format also provides such a control.
Also note that these controls only work within IE, anyone using another browser will get the download/save/open experience. You can of course give people read only permissions to the library, which would prevent them from uploading any changes.