Configuring file associations is easy if you’re using a full-featured desktop environment, such as KDE, Gnome or Xfce. In such case, xdg-open delegates the task of opening file to kde-open, gnome-open or exo-open, depending on the environment. But with Openbox and similar environments it’s not that easy.
It’s likely that when you click on a just downloaded PDF file, it opens in Firefox and not in Evince or Okular (or your any PDF-reader of choice), because xdg-open defaults to Firefox.
One possible solution is to install a part of KDE, Gnome or Xfce environment, and use one of the *-open family. But we’ll try a more “pure” solution.