I have locked down a user with a GPO so when they logon they get Internet Explorer as their shell instead of Windows Explorer, this part works fine. Now I need to be able to open up PDFs with this same user, is this possible with the IE shell or will I have to go back to a Windows Explorer shell?

The setting that I currently have set is User Configuration > Policies > Administrative Templates > System > Custom User Interface. This is set to "c:\program files\internet explorer\iexplore.exe" -K. I did try adding AcroRd32.exe to User Configuration > Policies > Administrative Templates > System > Run only specified Windows applications but this obviously didn't work.