It may be that your file associations are screwed up. Make sure that PDF
files are associated with Adobe Reader. In XP go to control panel, folder
options, file types, and scroll down to see if PDF is associated with Adobe
Reader, or another application, or is missing. This can happen even when you
have installed Reader. You can edit the association or create a new one from
there.
This problem would prevent you from opening a PDF file from a web server or
your hard drive, but will not apply if you are truly just having problems
downloading the file. If this is the case, check to see if your Internet
zone security settings are set to default. Mine are and I can download most
file types without problems.
Bill