Protected Mode \ Protected View \ All Files

I'm using Reader XI 11.0.2

When I enable protected mode and set protected view to either "files from potentially unsafe locations" or "all files", then open a PDF from the internet, after openining the file and the contents being displayed, a warning message is displayed, AcroRd32.exe - Drive Not Ready.  The drive is not ready for use; its door may be open. Please check drive A: and make sure that a disk is inserted and that the drive door is closed.  It doesn't matter if i click cancel, try again or continue, the error disappears and I can use the document...

Anyone else having this issue or know of a fix? I'd really like to use the protected view feature.

Thanks

Mark