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Anchor keywords are never natural. The only reason you link to the Adobe Reader page is because you would like people to help read their PDFs. That's why it's one of the most linked to pages. It would be weird if everybody would start linking to their Photoshop page as you could also read PDFs with Photoshop and it costs hundreds of dollars.

Not a problem. If that's your only sidebar/footer link, you'll probably be just fine. In regard to any link building in the future, if you would give the site your credit card number without much thought, it's should be okay. If a site looks like a site/page only exists to serve exact match anchor text, that one should be avoided. (Think blog spam and most PHP link directories.)