What happens (or can happen) when connecting to a website from a pdf file?

(Part of this post was copied from a question I posted earlier, to which I received two correct answers)
I'm working with WIndows 7 Home Edition. I downloaded a pattern in pdf. One of the first times I had the document open, I saw a little message, asking me to allow the document with the website it came from. At that time I didn't want that to happen so I answered 'do not allow' (or words to that effect).
I'm working with Windows 7 HE, Adobe Reader v.10.1.1
I have now changed my 'do not allow' to 'allow' so the pdf file can connect with the website I downloaded it from.  But I'm curious: what is or could be the purpose of that connection? Anything I have to be worried about? And from whom does that request come? The Adobe pdf file, or the website where I downloaded it from?
THanks!
Ciske.

"There are a number of things within a PDF file that can request data from a webserver, or post data back to one, but they can only be triggered by the PDF file - not the server.
A form can submit completed fields to the server, and read a response message (e.g. to confirm the data is correct) 
A rich media annotation (Flash, video or audio) can download content from the server instead of embedding it in the file 
Scripts within a specially-written PDF file can communicate with a server using protocols such as SOAP, to retrieve data (e.g. to look up information in a remote database)
There's no immediately-obvious way to tell exactly what information is being sent or received unless you inspect the PDF in some detail; but because of the security models used by Acrobat and Adobe Reader, files which communicate with a remote server cannot read or write data from your own computer without your interaction - so they cannot secretly upload files, passwords, etc."
Thank you very much for your explanation.
I understand the three points you explaned. It is just hard to apply them to the kind of pdf file I am referring to. But I don't know anything about adobe reader, and that may very well be the reason for my lack of understanding.
The file is an explanation, a pattern of a craft project, with extensive drawings to help understanding the directions. The website has many patterns (all pdf files) of the very same kind available.
I believe I understand your explanation, but again, it is hard to imagine why a simple pdf file like the one we're talking about would need to connect with the website it came from. But then again, I know NOTHING about pdf files.
So, in my simple mind, I felt I had to deny permission to connect which I have now made possible again. It's annoying to see something like this happen and not have a CLUE what it is about
Thank you again for your help.
Ciske.

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