If windows prompts you to open with and then adobe opens the document then the document is being saved as a pdf. This would appear that your windows does not have the correct program as the default reader. Right click on one of the pdf documents and then select open with and at the bottom of the list it will show chose default program, then choose Adobe .
I'm sorry but your title does not explain much at all. The devil is in the details that you have not included in your post.
What version of FileMaker are you using?
with what Operating system version?
Are you selecting Save As PDF from the file menu or using the Save As PDF script?
It sounds like you are not including the .PDF file extension as part of a script specified file path used with Save As PDF. But note how many different guesses are involved in that statement....
If you are using Save As PDF in a script, this thread may help you: Found Sets to PDF with unique file names