PDF link incompatibility with IE

Hi everyone,

I'm trying to troubleshoot a problem that occurs when I want to open an embeded PDF from a CHM, while an IE window is already opened.

He're is the point :
I just make a standard link (Ctrl+K) aiming at the PDF inside a topic, so that the PDF would open in a new window :
<a href="..\..\_PDF_directory\MyFile.pdf" target=_blank>cliquez ici</a>
The PDF is - of course - embeded in my project.

He're is the problem :
Now, when I generate the CHM and give a clic on the link, I get the folowing error message :
Unable to complete download ("Impossible de terminer le téléchargement" in French)
>> THIS PROBLEM OCCURS ONLY IF AN INTERNET EXPLORER WINDOW IS OPENED !!! (IE6 and even IE7...)
>> If I close all IE windows (or kill "iexplorer.exe" in the tasks manager) and try it again, the PDF opens just fine...
>> By the way, the PDF link also works fine - wether IE is opened or not - in the Robohelp topic preview (Ctrl+W)

So... does anyone know something about this problem ? or had to deal with it already ?

Regards
Cédric SUIRE