US-CERT, the computer emergency response team that is now part of the U.S. Department of Homeland Security, on February 20, 2009, released a Cyber Security Alert warning about Adobe Reader versions 9 and earlier and Adobe Acrobat (Professional and Standard) versions 9 and earlier.
According to the US-CERT release, the issue is that JavaScrpt, as implemented in these Adobe products, is vulnerable and can be used by the bad guys to take control of your computer.
The Preferences tab can be found on the menu bar at Edit > Preferences.
That is a good recommendation for any time and any kind of file!
Adobe’s security bulletin can be found at http://www.adobe.com/support/security/advisories/apsa09-01.html. It also states that there are reports that the issue is currently being exploited and that Adobe expects to have updates by March 11, 2009.