When you attempt to open a .PDF file that came as a mail attachment in Windows Mail, the following error may occur:
This file does not have a program associated with it for performing this action. Create an association in the Set Associations control panel.
This may happen even though you have Adobe Reader installed. Also, the same file may open correctly when saved to disk and then viewed.
This error occurs if the file type association for .PDF is incorrect. You can fix this using the steps below.

The repair process should fix the .PDF file type association. Restart Windows and see if you're able to open .PDF attachments directly from Windows Mail.