Firefox typically judges the nature of a document or download based on the content-type header send by the web server. Usually a server has a catalog associating file extensions with content types. When you choose a new file extension, the server may send the generic "it's some kind of binary file" header ("application/octet-stream") which Firefox will not associate with a particular program.

Now, when you open a file from the local system, there is no web server, so Firefox may look to the file extension to ascertain the content type. Obviously that is not working in your case. What happens when you want to open the file from My Computer or Windows Explorer? Does Windows have an application assigned to it? If you can associate it with Adobe Reader in Windows, Firefox may be able to pick that up from the Windows registry.