What Windows version are you using?
What Adobe Reader version are you trying to install?
Does the installing user have administrator rights?
Do you have a previous version of Adobe Reader installed?
If the last question is true, try to uninstall all earlier versions using the Windows Installer Cleanup Utility, then try again.
If not, one more question: do you know how to use the registry editor?
OK. I have installed adobe reader 9.1 but now I can't open the pdf file by clicking on it. I can open it only via file\open\....
Can you be a little bit more explicit in what you mean by "can't open" - what happens when you try?
I've fixed it. Everything is ok now.
What was the fix for you?