PDF files are documents, sort-of like documents made with a word-processor program. If you just got your first PDF file, you can open it with Adobe Reader, which is a free download available for Windows, Mac, Linux, and Android. On the iPhone/iPad, you can use the Stanza app.
Many companies publish documents in PDF format so that anybody can read them; they don’t have to worry about whether or not you have the right word-processor program. Books are also published in PDF format, though publishers seem to be favoring newer formats now such as .epub and .mobi.
See the Wikipedia PDF page for more information.