HTTP error message appears when opening a pdf file from SharePoint in IE
An error will occur if you add an unsecured SharePoint site to the list of sites under File\Options\Connectors\SharePoint and the option for "Secure Server" is checked.
To correct this, under Site Selection, select the first option, "I want to select one from the top level sites" and uncheck "secure server". Now when you go back to the option "I know the exact URL of the site", you will see that the "secure server" option is still unchecked. Enter the URL for the site and it should connect without error.