This is because the links are in <a><span>Link text</span></a>, which causes IE to show the right-click menu for clicking in limbo rather than the one appropriate for a link.
Version: 1.17.x
Severity: normal
URL: http://usability.wikimedia.org/wiki/Talk:What%27s_new,_questions_and_answers#Right_clicking_on_Page.2C_Edit.2C_History.2C_Discussion_etc._No_longer_allows_multi-tab_editing.2Freading.2C_Why.3F