This brings us to this document from Microsoft: http://support.microsoft.com/kb/316431
CAUSE:
In order for Internet Explorer to open documents in Office (or any out-of-process, ActiveX document server), Internet Explorer must save the file to the local cache directory and ask the associated application to load the file by using IPersistFile::Load. If the file is not stored to disk, this operation fails.
When Internet Explorer communicates with a secure Web site through SSL, Internet Explorer enforces any no-cache request. If the header or headers are present, Internet Explorer does not cache the file. Consequently, Office cannot open the file.
RESOLUTIONS SUGGESTED BY MICROSOFT:
Web sites that want to allow this type of operation should remove the no-cache header or headers.
So Our question is how can we make it work with HTTPS? Any workaround?