I have the same problem. It's apparently a result of the new Protected Mode. Disabling it via Edit--> Preferences-->
"Enable Protected Mode at startup" is a workaround and will allow PDFs to be opened from network shares. Of course that defeats the entire purpose of Adobe's sandbox architecture in X. For now though I don't see an option.
You can disable this through the registry via HKCU\Software\Adobe\Acrobat Reader\10\Priviledged\ by setting bProtectedMode to decimal 0. This can be done through group policy preferences and would be necessary for every user.
What I find interesting though is that I only have this problem on XP. My Vista and 7 clients seem to open files from UNC shares without any issues. Has anyone had a problem on the newer OSes or is this just a bug with Reader X on XP?
Thanks,
James