Are you opening them from the internet? If so you need
to first right click on it and save it to your computer
and remember where you put it. Then to open it you need
to first start your Acrobat Reader, click on File, Open,
then browse to the file and open it from there. Also,
what version of Acrobat are you using? After I upgraded
(free) to version 6, I no longer had to go through all
that.