When you just click the link it always opens in read-only  mode. At least that is what happens with my site.

When they click on the item link it cuases the browser to open  it using the browser built-in function. If they want ot edit  the item they have to save it to their PC and then open it or use th e drop-down  menu to check it out and to edit it with...

This is a bug with the way that the implicit check out works. When a
document is clicked on, WSS v2 tries to do an implicit checkout for
read. If the document  is checked  out for editing by another user, the
would be reader is warned that they may not see the latest version of
this document. However, it isn't smart enough to check to see if the
would be reader is the person that it is implicitly/explicitly checked
out to for edit. So, it seems odd to see a message warning you to beware
that you have the document checked out for edit, but it is a benign
message. Fortunately, when the would be reader decides to actually edit
the document, WSS v2 lets them have full control of it.

I haven't checked this specific situation, but WSS v3 is much smarter
about check out/check in.