Protected View is a safety feature in Office 2010/2013 that lets you view a document, but prevents it from running macros that might contain malware.  By default, it opens any document downloaded from the Internet in Protected View.  The same is true for any document attached to an email message, or any document in your browser cache.

You can turn off Protected View for any of these options by clicking File / Options / Trust Center / Trust Center Settings… / Protected View.