InfoPath from doesn't open correctly from IE9

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IE9

InfoPath

Hello, everybody!
I have such problem. There is a wev-server, where web-site and InfoPath forms (.xsn files) are hosted. When a user clicks on special link on web-page InfoPath form should be opened. Web-page returns XML with a directions to the appropriate .xsn form. It works on most machines, but on some of them we have a problem.
The problem is when the link is clicked InfoPath starts but a popup window appears with a 'Select template to open XML'. Then we should specify a path to .xsn form. How to make it work as needed?
If we save web-page response (xml file) and then open it in InfoPath everything goes Ok.
InfoPath forms are not published with SharePoint, they are just files. InfoPath 2010, Internet Explorer 9, Windows 7 32-bit.

Thanks in advance!