Are you using TurboTax Online? The PDF may have downloaded to your Downloads folder instead of opening up. If you use the Control+J shortcut (Command+J on Mac), in your browser, it will open up your downloads list and you can find your PDF there.
You can also right-click on the button/link for the PDF and choose “Save Link As” to pick where the PDF goes. That way you can save it to your Desktop and open it from there.