Are they attached to an email? I don't use AOL (my aunt does and I could try to see if she has the same problem) but I know that I attach jpgs and other file formats to those with AOL and they have no problem opening those.
If you receive the mail and save the pdf attachment, what program are you expecting to open them in, Acrobat or Reader? Do you get any sort of error message?
More info, please, before we can help resolve this!