The fact that URL links from within Adobe Reader always launch Internet Explorer instead of the default browser, say Firefox, seems be a common problem from within the Reader, and from within the Help (Google "Adobe Reader default browser").
Last year Adobe's own tech note declared it "a rare problem and there is no known solution":
and the problems continue in relation to Vista [HTML links don't open in default web browser on Windows Vista (Adobe AIR)]:
It also seems to have been a problem for long time going back to early versions of Mozilla Firefox 1.06. Various other forums too suggest that it's just a matter of using Start | Set Program Access and Defaults, and choosing "Use default browser" or forcing Firefox to be the default.
Like contributors here, I found that neither method worked.
Note that Mozilla's own useful KB article:
suggests you set individual file types to default to FireFox, but I had already had those set anyway.
The solution I chose to make URL links in PDFs trigger my Firefox browser reliably was to dump Adobe Reader and install the faster and smaller Foxit Reader (http://www.foxitsoftware.com/pdf/rd_intro.php). The only change you have to make inside Foxit is to tick the "Create links from URLs" tickbox under Edit | Preferences | General.