Can you post the URL to the PDF you're trying to open?
It happens with almost all .pdfs that are web-based. For instance, it will not open this file: http://h20195.www2.hp.com/v2/GetDocument.aspx?docname=4AA3-7370ENW (hp.com fact sheet).
Any files that I have saved to my PC do not have this issue.
I tried the link you posted in both Firefox and IE8 and both seem to be OK (no popups).
What happens if you click the OK button?
The message box disappears but nothing else happens when I click the OK button.
What about if you click the question mark?