I found this solution elsewhere and they were using roaming profiles as well. The specific instruction location isn't quite the same number, but the referenced memory is. So, this may well apply. The article says:
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First off all, make sure you are running the Windows 2003 version of Adobe Reader.
The problem is solved in the new version.
The problem is that if you have Office installed on the same server where Adobe Reader is located - And if users are opening pdf documents in Internet Explorer (if they click open in the open/save dialog in IE the document is opened inside IE).
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So, check to see if you're running the correct version of Adobe Reader (the lastest) for your operating system.