As for pdf, I think K-Meleon opens it with the Acrobat Reader plugin by default (you don't even have to have the plugin in K-M plugins folder but you have to have Acrobat 5 or higher installed; K-Meleon looks for Acrobat 5+ installations at startup). For other Acrobat Reader versions, you have to copy the nppdf plugin file into K-Meleon plugins folder.
I have also written some information about that at
http://www.bahamapress.org/andres/kmeleon/plugins.html
As for other files, add the MIME type to:
user_pref("browser.helperApps.neverAsk.openFile", ...
in prefs.js and also enable:
user_pref("kmeleon.general.CloseDownloadDialog", true);
For a word doc I think it would be e.g. like this:
user_pref("browser.helperApps.neverAsk.openFile", "application/msword");
user_pref("kmeleon.general.CloseDownloadDialog", true);
I did not test that but I hope it will work. You can use the same method for any other file types. You'll get the MIME types e.g. from Start - Settings - Folder Options - File Types.