You'll need to host the PDFs on a webdav server. I've never done it, but I've heard it's pain.
Why not just put them in Dropbox and open them locally in Acrobat or Reader? Is this something you need other people to be able to comment on as well, or just you?
That would constitute a collaborative environment, as noted in the link in my comment. The full text of that support page is:
To enable the Comment and Markup toolbar in a PDF file that is viewed using the Adobe Reader web browser plug-in, there must be a collaboration backend in place, such as a review server. If there is no collaboration backend available, then you must save the PDF file to your computer, review and mark up the file in Adobe Reader, and send it back to the originator.
If online commenting is required in a non-collaborative environment, then contact Adobe Support for more information.
This suggests that online commenting in a non-collaborative environment (i.e. without directly connecting to PDFs hosted on a webdav server) is possible. I would like to know how to enable such a solution.