I hear issues about this sort of thing from time to time from clients.
We do have this forum post on the site that discusses why this may be happening: http://www.infopathdev.com/forums/t/11876.aspx
I am guessing that the link to open the form form your version history is similiar to opening the form from a SharePoint workflow task thus it is opening in the client. Perhaps some of the information there and the linked article will help
Ted