If you have added a dataview to list DBXL documents, you will find that links will give you an open/save prompt. This little code snippet will prevent the dialog on a SharePoint 2010 page (it may also work for SharePoint 2007, but I haven't tried it).
onclick="var b = StsOpenEnsureEx2('SharePoint.OpenXMLDocuments');
b.EditDocument2(window, '{@Link}', 'InfoPath.Document'); return false;"
Also, check out Jo-Anne's blog on using a shared javascript file to do the same that will work for SharePoint 2007:
http://www.infopathdev.com/blogs/jo-anne_alfafara/archive/2010/10/15/best-way-to-launch-forms-from-sharepoint.aspx