The issue was - you can not open Microsoft document from MOSS2007 document library, then you use Forms authentication. You can save document on your local drive by clicking of right button on the link, but then you try to open it just by clicking the link it return you an error or blank document.
Solition was to go to the SharePoint "Central Administration > Application Management > Authentication Providers > Edit Authentication" for Zone with Forms Authentication and change "Enable Client Integration" to "No", after that a Microsoft Document can be open in Read Only mode just by clicking on the link. To edit the document you still need to save it outside of SharePoint and upload it back after. Here is good reference: http://msdn.microsoft.com/en-us/library/bb977430.aspx
Previous case was for HTTP access, but if you use HTTPS and try to open a Microsoft document - you have message "The website you want to view request identification. Please, choose a certificate." Solution was to use reverse proxy in my case ISA2006 and publish the SharePoint site. However, you will need to configure ISA rule properly. Below are some configuration screens:
What is very ipmportant here is ability ISA to translate HTTP links to HTTPS links back to user's browser, otherwise despite on initial HTTPS request SharePoint will answer with HTTP links (references) on it's pages.