First of all, happy new year! 2006 has been an exciting year, expecially for office/sharepoint people. A lot of beta stuff and new things to dive into. 2007 will probably be even better, looking at all the Office 2007 opportunities to come!
Anyway, a good start with a tip from Eli, talking about authenticating when opening documents in an extranet, and expecially, how to avoid it.
"The solution is found in Internet Security and Acceleration Server (ISA) 2006. If you're making SharePoint available externally you should already be running ISA. The trick is configuring the Listener of that external connector to allow persistent cookies. Go to Listener Properties, Forms, Advanced. Name your cookie and select "Only on Private Computers" for the second field.
It's also good to configure ISA to use Forms-based NTLM authentication, which even has extensions to supoprt third-party authentication providers like RSA. That way you can use most any browser to hit your external SharePoint site, not just IE and Firefox. "
Read the complete article