Message of PDF file reader to unknown file while downloading it.

I have a problem that I am getting the reference of PDF file reader to unknown file when I try to download it.
Here are the details.
I have replaced the Reader 5.1 version of Reader 9.3. I have Windows XP with service pack 2 and Internet Explorer 6.
However, after trying to download the PDF file from one reliable site I get the pop up security warnings, and getting continued just after clicking that with trial to download the PDF I get the new message that the file type is "unknown".
How to fix this issue?
