I believe this will work if you're using KDE: Menu icon (lower left corner of Screen) -> System -> Configuration -> KDE -> Components -> File Associations
In the 'Find filename pattern' input box, enter PDF. Then, in the 'Known Types' tree below that you should see only 'applications'. Expand the applications entry and you should see PDF. Click on that, and you will probably see several entries under 'Application Preference Order' (KGhostview, KPDF, etc). Make sure KPDF is the topmost entry, using the Move Up button.
I'm not sure if you have to restart KDE; probably not.
Then when you click on a hyperlink that's a PDF file, it should be downloaded and automatically opened in KPDF.
There may also be ways to have the PDF file opened embedded directly within the Firefox window/tab. For instance, there is a Firefox Extension that "allows you to choose whether you want to view a PDF file inside the browser (as PDF or HTML) or whether you want to download it." You can view the details and download this extension from the Mozilla site at this link. Note: I haven't tried this Extension so I can't comment on how it works. If anyone has tried it or knows of other options, please comment.