A user was having problems opening Adobe PDF files from Internet Explorer getting an error that the file could not be found.  The file could be saved to desktop and then opened from there just fine.   From what I could tell, IE was trying to save the PDF file to a folder in "%Userprofile%\Local Settings\Temporary Internet Files\Content.IE5".

From my admin account, I could browse to the user's Content.IE5 folder, but the user's account was not able to see or browse to this folder at all.  This was causing problems being able to save anything to Temporary Internet Files for retreival.  I checked the permissions on this folder and they all appeared to have sufficient access.

In order to fix this, the Temporary Internet Files for the user needed to be recreated.  This was done by going to Tools, Internet Options, clicking "Settings" under Temporary Internet Files, and selecting "Move Folder".  It will list the current location, so simply select the same location and it will recreate the entire thing. 

After this was done, the user could browse to Content.IE5 folder and save/open PDF files in Internet Explorer.