Firefox -> Tools -> Main -> Check to see if Firefox is the default browser. Check now. Make it default.
This'll also open up links from word documents, IM's, etc. all in Firefox. It's not something you set just for the PDF reader. (Maybe you can. I'm not sure, actually. But why would you want to? If you use Firefox all the time, may as well have it open up the links in every filetype.)
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