My question would be...
First, does this happen with every pdf file, every pdf from a particular source, or with just one file.
Second, what version of Reader and Internet Explorer are you using.
Third, what Operating System are you using.
Forth, have you searched the Adobe Support Knowledgebase. If you haven't that's the first placed I'd start. Most problems can be solved by searching through their knowledgebase.
Last, my guess would be that you are using Reader 4.0 and there is problems with the plug-ins that allow the browser to open pdf's correctly. But, without knowing answers to some of the questions above...it's hard to tell.
Hope that helps!