Are you using Linux or windows? Firefox has an option under Tools/Preferences - Downloads. You can change what the default behavior of Firefox is for each file type. Check to see if there is anything there for PDFs.
Also if you type about
lugins in the address bar it will tell you if you have the acrobat plugin installed.
I recommend Acrobat 7 (if you run windows) because it is faster, and slightly more efficient than 6, and has more features than 5.
Under linux you can download acrobat from adobes website, and you have to manually copy the plugin into your plugins directory. Let me know if you want to know how to do that.