Assuming you are going to use Internet Explorer 10 as default browser in Windows 8, you now have the choices where you want the link you are going to click outside the browser to open, Metro UI or on the desktop.
By default, Windows 8 Consumer Preview opens links using the flavor of Internet Explorer that matches your current environment: if you’re running a Metro style application, following a link launches Metro style IE10; if you’re running a desktop application, following a link launches IE10 on the desktop. However, you can override this behavior by changing the setting "Choose how you open links." in the Programs tab of the Internet Properties dialog.
There are 3 options there for you to choose, fairly straightforward just judging by the name.
There is also a setting "Open Internet Explorer tiles on the desktop" just below the dropdown list that lets you to control what happens when you click the Internet Explorer or pinned site tile. When checked, it always launches the IE on desktop, even when you launch it from the Metro UI.
What if Internet Explorer is not the default browser I am using? That’s pretty straightforward. The link will always be opened in desktop because IE happens to be the only browser that has a Metro version at this very moment. And when IE is not your default browser, the settings shown above will be greyed out.