Adobe Reader 8.0 wont open hyperlinked pdf files

I have just installed adobe reader 8.0 and although it will open pdf files that I have on my PC, it won’t open, for example, http://www.nickheap.co.uk/documents/developing_people.pdf or another pdf file on a colleagues website. This is direct from a Word document or by typing the URL into a the browser or clicking a link.

I first get an error message saying there is a problem with Acrobat/Reader please close it and try again. It is not open! When I click “OK”, I get an error message saying I may not have permissions and there is a window in the background where it appears to be trying to download the file.

I have removed reader 7.0x and have had reader 4.0 on the system. It is a new PC using WindowsXP, IE7 and Microsoft Office2000.

Any ideas, I have used a PC for years but am not a technical expert at all.

Thanks,

Nick