I have exactly the same problem.
And what version of Reader might you be using?
The new 9.3. But it has been doing it with old versions too. I just took out the reader plugin from the Adobe Browser folder, and now the pdf's are opening in the Reader application separate from the browser. I'm continuing to test.
Do you only have one version of Reader installed and no versions of Acrobat?
I would probably uninstall Reader, run the Microsoft Installer Cleanup Utility to get rid of all instances of Reader, then reinstall Reader to see if it clears up for you.
Also, be sure and have only one version or Reader OR Acrobat installed.