Several points to answer:
PDF = Portable Document Format and is for documents and still pictures not movies. Sounds like you're trying to look at your downloaded stills in a movie player. It won't work; I've just tried it.
You need Acrobat Reader; it's given away free with lots of programs for reading instruction manuals and so on.
If, when you double click a PDF file, Quicktime is opened, it seems that your File Association is pointing you in the wrong direction.
If you have Acrobat Reader, open it first and then drag the PDF image file into it and it should be visible.
Yes, you can convert an image in a PDF file to JPG format but you need a fairly fancy Program such as Photoshop. First you import the PDF file into the program which you have already opened. I've just done it using "drag and drop". It asks you whether you want to rasterize it and when you say "Yes" it becomes a potential Photoshop file but you can then save it as a JPG file using the usual procedure. The JPG file size is only slightly bigger than the PDF size.
Just done it; simplicity itself.
Oh yes, Quicktime and Windows Media Player can live happily alongside each other. But, evertime you open it, Quicktime will always try to get you to reset the file associations to point to itself instead of one of the other players. If you don't want this, you have to be on the ball to say "No" when it asks you. LIke you, I prefer WMP but keep Quicktime for those specialised media files that pop up from time to time in an application that was written originally for the Apple but can be used in Windows (like Photoshop).