I think we all know better than to download executable programs (.exe's) from untrusted sources and run them. Opening a Word document from an untrusted source could be dangerous. Now, even opening a PDF file on a fully patched Windows machine with excellent, up-to-date anti-virus and malware software could cause your machine to get owned.
Here is the link to his article: http://blog.didierstevens.com/2010/03/29/escape-from-pdf/
I downloaded his extremely simple example and in a few seconds changed it run a batch script instead of cmd.exe. It looks it would be trivial to make it run any sequence of commands desired. Depending on the PDF viewer used on other operating systems such as Linux or Mac OS X, this same technique will work there.
When using Google, one might consider clicking on Quick View or View as HTML instead of viewing the actual the PDF file.
UPDATE: Adobe finally responded to this, explaining simply how to disable this feature. This sounds like a good thing to do for most users. http://blogs.adobe.com/adobereader/2010/04/didier_stevens_launch_function.html