Every file I download is downloaded as a PDF regardless what kind of file it is

I think that what probably happened is that you accidentally associated some unrelated file-types with Reader, so it tries to open them each time you open one of those files, which it of course can't do, as it can only open PDF files.

If you're on Windows right-click one of those downloaded files while holding down Shift and then select Open With - Choose Default Program... And then select the application you want to use for that type. For example, if it's a .docx file, select Word. Tick the box to use that application as the default for this file type and the problem should go away.

Repeat for each file type that you see is not associated correctly.

What happens when you open the files in Acrobat Reader?

There is absolutely nothing in any Adobe product (much less Adobe Reader which has no means of producing PDF files) that has the option or capability of automatically converting any downloaded file into a PDF (and apparently deleting the original file).

How are you downloading these files, where are you downloading from, what is the operating system and version are you using, what is the default PDF handler in your system, what is the Adobe product that you're using to view PDFs with?