When I open PDF's it doesn't store it on my desktop. I even used Filemon from Sysinternals to see where is does store the file. In my Temp folder like I think it should with a .tmp extension. I repeated the test with a zip file with the Open option. It again is writing the file in the temp folder but this time it used the .zip extension.

Now I am using WinXP SP2 so maybe that has something to do with it.