This is how you change the "Enable Protected Mode at startup" in Adobe Reader XI, for earlier versions of Adobe Reader, follow there instructions instead.
To check the status of protected mode, choose File > Properties > Advanced > Protected Mode.
Protected mode is enabled by default. To specify the settings, do the following:
Choose Edit > Preferences.
In the Categories list on the left, select Security (Enhanced).
In the Sandbox Protections area, check or uncheck Enable Protected Mode at startup.