Sounds like PDFs are being opened in Word.
Make sure you have Adobe (Acrobat) Reader or any other PDF reader installed.
Right click your pdf file and click "Open with". If PDF Reader doesn't appear here just click "Choose default program".
Tick "Select program from a list of installed programs" and try to find your PDF Reader.
If you still can't find your PDF reader here you have to manually search the executable by clicking "Browse".