The way I have done it in ArcMap is the following (note that it may be a little different if you are using an older version, I am using 10.0).
- In your attribute table add a field with the absolute path to the PDF files (ie: c:\Temp\PDFs\Document1.pdf)
- With the shapefile you want to use as the linking file allow hyperlinking according to a field
- Open the properties of the file
- Go to Display
- Check Support Hyperlinks using field
- Choose the field that stores the absolute path to the pdf
- Click OK
- To access the PDFs from the hyperlink field you will want to use the Hyperlink button (the lightning bolt)
Happy Hyperlinking!