Not really an Adobe Reader issue.
If it IS a file that Reader can open, that means it's a PDF. If you want to use an image as a desktop background, it will need to be converted to a .jpg or the like (an image file).
Adobe Reader cannot do this. You would need to either have Adobe Acrobat (the paid version) or something else that can convert PDF to an image file such as a .jpg. Google "convert PDF to .jpg" and see what you can find.