How to open XFDF file from IE in Adobe Reader?

I have really interesting problem. I have posted XFDF file on my site and planning that user will click on it and get PDF file opened. But the strange this is that each browser has different behavior:

on my PC I have set associated application for xfdf file - Adobe Reader.
1) IE opens my xfdf file in XML format, and that's all. that's the biggest pain,
2) FF opens it in good way, but anywhere it ask which application to use when open xfdf file.
3) Chrome, just download files without anything.

Any ideas? :) I will update my post later if I solve the problem