One annoying thing with PDFs and PDF Readers is that when you click on a link to a PDF, it opens in a browser window, rather than its own PDF Reader window.
In Opera, go to Tools > Preferences and the “Advanced” tab. Select “Downloads” on the left site. On the list of MIME types, select “application/pdf” and hit edit. Select “Open with default application”. Hit OK, close the window, and you’re done.
In Firefox, go to Tools > Options and click the “Content” button at the top. Click the “Manage…” button for File Types. Double click on PDF on the list. Select “Open them with the default application”. Hit OK, and close out of everything.
For Internet Explorer, you’ll need to open Adobe Reader. In Adobe Reader, go to Edit > Preferences. Click on “Internet” on the list on the left. Uncheck the “Display PDF in browser” option and hit OK. Adobe Reader will configure itself and may ask for a reboot.