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When I click on an Excel document in the recent documents list, Windows shows me a dialog asking for an application to open the document with. It should be set already on the download with a mimetype
Windows should be able to pick up the mime type in recent documents, it does for me with xls. Does it happen for you consistently with excel documents, other documents?
Please check what the mime type is in the documents tab of your project for the specific documents that you have problems with. If you keep getting this problem, I advice you to contact our support on firstname.lastname@example.org and they will get right back to you. They are open 9-17 on weekdays.