Firefox 2: Go to "Content / File Types" and click the "Manage..."
button. Select "PDF" from the list of extensions, click the "Change Action"
button and change the action to "Open them with the Default Application".

Firefox 1.5: Go to "Downloads / Download Actions" and click the "View
& Edit Actions" button. Select "PDF" from the list of extensions, click the
"Change Action" button and change the action to "Open them with the Default
Application".

Firefox 1.0.x: Go to "Downloads" and click the "Plugins" button.
Uncheck "PDF" from the list of extensions. Next time you click a .pdf file
link in Firefox, you will get an "Opening...." dialog box asking what you
would like to do with the .pdf file. Choose the option to open with the
default application and check the box to do that automatically from now on.