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When I open a downloaded PDF file, it says I have to choose an application.

Nothing from the list of applications that comes up works to open the file.

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Which web browser are you using? Which applications have you tried when opening a *.pdf file? – iglvzx Feb 13 '12 at 19:40

Uncheck "recommended apps" and search for Preview.

Can you view it if you select it in Finder and press the spacebar (to toggle Quick View)?

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Download the Adobe Reader to oepn and read PDF files easily on a Mac.

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Would you recommend the same to someone on Windows who already has a PDF viewer and gets the equivalent "unknown file type" message? – Daniel Beck Feb 14 '12 at 18:05
I'm not sure, but I'm also sure that's not related. @brenda didn't mention that s/he already had a PDF viewer. – wizlog Feb 14 '12 at 21:21
It's called Preview and comes with the OS. If you don't have it, you have done something very wrong. – Daniel Beck Feb 14 '12 at 21:38

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