I have a similar setup to RichD - Dual boot Ubuntu/WinXP With a FAT partition to store my data so it can be accessed from either system. The only difference relevant to this case is I use the Linux version of the Adobe's own reader rather than the Evince viewer.

I had not thought to save the pdf file to the Ubuntu home folder. When I tried it it saved no problems and will open OK in the FAT partition after manually copying.

I have had a similar problem with Audacity where the Linux version will not save project files to the FAT partition so I now keep my Audacity files in my Ubuntu home folder. Using an NTFS partition for the data does not resolve the situation (which I was recommended to do in the Ubuntu help forum) as I tried saving to the WinXP partition and had the same problems. It seems that there is a problem with saving files from some Linux Apps to Windows partitions.

Rich.
When I saved the Tax Return from the website the filename offered was "viewTaxReturnPdf.pdf" - the *.pdf suffix was already there! You must have accidentally deleted it during the saving of the file.