Hmm, I never have the luxury of working with client forms (can't guarantee every user has both Windows and the proper version of InfoPath on their machine), but in my test forms, this does not happen. Unfortunately, my environment is nowhere near yours, because I only maintain 2010 test farms on my laptop now, and my clients are all Win7 or W2K8R2. It's normal to get that prompt when linking from somewhere other than the form library (i.e. search results, DVWP, custom hyperlink), but not from the form library itself. My first thought are your browser settings, but not for file types. Let me try some things to see what happens.
Firstly, is your SharePoint site placed in the Local Intranet or Trusted zone for IE for all machines?