Have you downloaded and installed Adobe Reader or any other reader capable of reading PDF files?
You can find the free Adobe Reader at http://www.adobe.com
The size of the download is 19.8MB. When you go to Help - Check For Updates Now... you can download three updates which are quite big as well.
The free Foxit Reader is only 1MB and you can find it at http://www.foxitsoftware.com/pdf/rd_intro.php.
If you want to install Foxit Reader and go to the website, click the download button in the left hand navigation bar and download pdfrdr.zip. After the download double click the zipped folder and copy and paste the file Foxit Reader.exe to a folder where you want to use it from. No installation is necessary. When you first run it, it asks you if you want to make it your default PDF reader.