Yes, select "Default" or check the "don't ask me this again" box in that window that pops up.
Default application is not the same as default viewer problem the OP had, but ...
That setting should also be in Acrobat preferences...
Does that window come back if you choose Yes instead of No?
I'd imagine this is happening through your web browser when you download pdfs. Just update your browser to not open .pdf files automatically and you shouldn't get this message, I think.