I will certainly share my finding with this group.
Just did a little test of my own and the hyperlinked dwg opened in the already open AutoCAD session. It is odd, though, that AutoCAD first prompts me to save "Drawing2.dwg" (or Drawing3, Drawing4, etc.) before opening the linked drawing. For some reason the process of opening a hyperlinked dwg seems to include an intermediate "New" drawing start followed by a "Save As". If this is true, then one would expect AutoCAD to behave as you have described if SDI were set to 1 (single document mode). (When I change SDI to 1 and try to open a linked dwg, it indeed does behave this way.) Could this be your issue?
I thought it was interesting that If I cancel at the Save As prompt (the way I normally operate, with SDI = 0), Microsoft Office issues a warning regarding viruses and opening files only from trustworthy sources. Apparently AutoCAD is using calls to Windows/Office functions to perform the opening of the linked dwg. If the SDI variable is not the issue for you, maybe the answer lies in Windows or Office?
Also interested in solution, having had near-identical experiences:
- DWG open in 2006 (Map 3D, SP 0)
- CTRL-click on hyperlink calls 2009 (Civil 3D LD Companion, SP 0)
- Microsoft Office (2000) file-opening warning before DWG opens
Apparently DWGs became associated with 2009 version upon its installation. Re-associated DWGs with 2006 for the time being; hyperlinks now open in 2006. Nothing changed re MS Office warning however; since it appears nearly identical to warning against opening links in MS Outlook, suspect Windows Explorer interaction somehow.