The link that you clicked on was just a label, which was not actually
intended to be followed. We are slightly abusing the PDF format's
embedded URL mechanism by storing the labels as URLs, because it is
the most convenient way to get Acrobat Reader to display them.
If you do not see the PDF label when you point at a link, you need to adjust one of the options in Acrobat Reader. Run it stand-alone (i.e., outside your web browser), then follow the menu File > Preferences > Weblink and set the Link Information selector to "Always Show". This will configure Acrobat Reader (in both stand-alone and plugin mode) to display the URL when you point at a link. It will appear either in the status bar or as a tooltip, depending on your platform and/or browser.