This question doesn't belong in the Word VBA _programming_ forum, but I'll
answer it anyway.

PDF is not a Word document format, and Word cannot be used to edit PDF
documents. (Yes, I know you can create PDFs from Word, but that uses a Word
add-in, not native Word functionality) Accordingly, PDF files are not listed
in the Word "Open" dialog box when it is set to display "Word Documents". You
may see it if you change the settings in the "Open" dialog box to list "All
Files", but evenso you still won't be able to open it.

However, Windows Exploder shows all types of documents in the selected
folder regardless of type, so naturally the PDF file is listed. And under
normal circumstances, if you double-click on a PDF file in Exploder, it opens
in an Adobe application (Acrobat Reader usually), not in Word - unless you've
managed to change the file associations in Exploder to use Word to open PDFs.