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Ctrl+Shift+J (or holding shift down when choose Item | Open Document) will open the current item's URL (linked document) externally in its associated application. Ctrl+Shift+Q (or Item | Open Shortcut with shift down) while on the URL would do the same thing.
Ctrl+Q (or Item | Open Shortcut) will normally open the currently selected URL in the internal browser (depending on Tools | Options | Browser | Launch shortcuts in external browser by default).
What may be happening is that you opened the linked URL in the internal browser via Ctrl+Q, then opened the linked URL externally via Ctrl+Shift+J.
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