If you do not want to install the client software then you will never be able to double click a shortcut and have it open the original. The shortcut will open and you will need to click the link (Assuming you have included a link) and this will open...
Patrick, Microsoft do not support ESM and Outlook 2007 running on the same box, however, I believe you can get it working by uninstalling ESM and then re-installing ESM and then running FixMapi.Failing this ensure that the active version of MAPI32.dl...
Also I would add that Archive Explorer will show the mail in the folder it was originally archived from. So if the shortcuts have been moved in outlook then this will not be reflected in Archive Explorer. Can you perform a search from Archive Explor...
Check that you have DisableLoopbackCheck enabled as per Method 1 in the Microsoft KB http://support.microsoft.com/?kbid=896861 Make sure you backup your registry before making changes