IE 9 on Windows 2008 R2 RDS server won't open file links

Using IE 9 on 2008 R2 RDS server.  IE9 was down-graded from IE 10 - just FYI.  (And this may be more an IE question than a RDS question.)

On web pages, regular users are unable to open links to files like PDFs or PPTXs, etc. There is a brief "blink" on the page like it is trying to do something but nothing happens.  If you right-click, and say to open in another tab, the tab appears then disappears back to the original page.

If I logon as an admin, everything works OK.

Would seem like a permissions issue but have no idea of permissions to/on what.

Have tried disabling add-ons, and re-registering some DLLs, checking IE security settings but nothing has helped.

Any assistance is appreciated.

Thanks