Document Link Content Type

I have a need where I have a single document, but it should appear in multiple folders (Wanted something like Vista's Virtual Folders) in SharePoint. One of the new features in MOSS is that of content type and there is a content type called Document Link, that allows you to link to a document in another document library. Todd Klindt has a very detailed post about this.

This works fine, expect for one problem. Sharepoint does not consider the link to be pointing to another Sharepoint document library. So if you click on the link to open the document in MS Office (2003), Office does not recognize it as from MOSS and show you the edit and check in options that it would show if you had directly clicked on that document. The link always opens the document as read only.

Does anyone know how to get around this??