General ⇒ Hyperref links to all other files except pdfs

[alackofcolor]

I'm trying to insert a link that when clicked will open another pdf file. I'm using the MacTex 2007 installation and TexShop that outputs a pdf file when typeset. I included the \usepackage{hyperref} command in the beginning of the document and the following type of command to reference the file

\href{file:/pathtofilefolder/file.pdf}{Caption}

The problem is, when clicking the link in the outputted pdf file, nothing happens. There is a box around the link to indicate it's there, but it never opens when the link is to a pdf document. I've linked to other document types, .psd, .eps, .png, etc and when the link is clicked, the documents open up fine. Any ideas?