If you can open pdf files normally in windows, I would choose 'Let windows choose...'.  That way it will continue working even if a newer version changes the Acrobat reader location.

I have latest Pegasus and Adobe versions. I use Windows XP.
 

I can not open  any .pdf attachment from within Pegasus. I must first save the .pdf file to any other directory, than I can open it. I get an error message every time if I try directly from Pegasus.

Yes- in tools options I listed .pdf as a file, and choose adobe as the program. What else.