One of the new features I ran into with SharePoint 2010 is that when you try to open a file such as a PDF (or other file types), you will have the option to open to read/edit but then be immediately prompted to save the file.
If you want to turn off this behavior do the following:
- Open Central Administration.
- Navigate to Application Management, Manage Web Applications.
- Click the General Settings button.
- Set the Browser File Handling setting to Permissive.
NOTE: This is a per Web application setting, so you would need to be sure to configure it for each Web application.