Right click on the IE8 icon in the taskbar. A menu pops ups up. Right click again on "Internet Explorer". Then left click on "Run as administrator". I had a different problem with Reader and this solved the problem. The problem I had was I could not save pdf files in IE8. This solved that problem.
That works perfectly fine. But it's so damn annoying to have to continuously keep opening IE as administrator.
I had the same problem after a completely fresh installation of Win 7, IE8, Adobe reader 9.3. The solution is to use the 64 bit version of IE8, not the 32 bit version. Something else I had trouble with (I can'r remember now, it might have been Google toolbar), caused me to use the 32 bit version of IE8 as a matter of routine. But, I couldn't save my some of my bank statements (PDF documents). If I ran as adminstrator (as suggested by this thread), I could. But I found that if I ran the 64-bit version of IE8, I could run it normally, and still save PDFs.