I have the same problem - shocked that this hasn't been addressed by Adobe or Microsoft. It began with recent updates. Adobe Reader will not open a .pdf file on the web. I sometimes get the following dialog but mostly I get a blank screen with "Done" in the status bar.
If I open a .pdf from my hard drive I get a message about protected mode. If I click on the link in the message, I get Adobe instructions about turning off protected mode - but it is already turned off. If i cancel that message i can open a local .pdf.
By the way, I am using Reader version 10, but Windows XP service pack 3 and IE 8. I think this started with Microsoft's update of 4/13/2011 but can't be too sure of that.
For what it's worth, uninstalling Reader 10 and installing Reader 9 solved my problem, so it is not the same problem as Biomilchstrasse is having.