This is a good idea to check for, do you have file extentions turned on? If not, enable "show file extentions" and verify the extention is indeed .pdf. If it is, download Adobe Reader, install it, and try opening the file again. There are virus makers that somple name their file virus.pdf.exe, and if you don't have show all file extentions on, all you see is virus.pdf.
Although you may just have associated .pdf files with Windows Media player by mistake at one point. If you do a re-installation of Adobe Reader, it should ask you to associate files with .pdf again.