Microsoft Word restores all open documents when clicking on a .DOC file

You can fix this problem by blocking Word from using DDE to open files.

In the HKEY_CLASSES_ROOT\Word.Document.12\shell\Open key:

• Delete or rename the ddeexec sub-key

In the HKEY_CLASSES_ROOT\Word.Document.12\shell\Open\command key:

• Delete or rename the command value (not to be confused with the command key.)
• Edit the (Default) value and add "%1" (including quotes) at the end

This solves the problem for .docx files. If you also want to solve it for .doc files, do the same thing for Word.Document.8

Thanks to: Rafael's Within Windows which has detailed instructions.