If you look here, what do you find?

Tools > Options > Applications

In the search box, type pdf

(For what it's worth, mine says "always ask.")

Thanks When I do that nothing is shown. There are a host of apps with Adobe on it but nothing that says PDF:

There is Adobe Acrobat document, Adobe Acrobat Forms Document etc but nothing with a PDF extension

Actually, that's correct. Instead of looking at file extensions, Firefox looks at the "content-type" indicated by the web server. If you widen the dialog (or hover the mouse patiently over a name), some of those descriptive names should be followed by:

application/pdf

application/x-pdf

What do you have for those?

Thanks again but no PDF listed on any of the adobe apps. I noticed if I to Adobe acrobat document on that list and move over to open it, it gives you the option of Adobe Reader as default. If I choose that, I can open PDF documents. I have also noticed via web search that more than 80 people have reported the same problem with 4.0, but no solution yet so I suppose I will leave the default at Adobe Acrobat Document Use Adobe Reader in Firefox. Not sure if that will affect anything else but it seems to open the PDF.