I understand it needs to be downloaded anyway, but I am pretty sure that the normal behavior is that it opens directly as well.
That is what I am used to in FireFox and I think in the old Opera.

Am I right?

Now for every pdf I have to go to the Download section and start it there myself every time.

In the old Opera there was a section where I could tell what a certain extension should do.
MIME or something?

I use v30.
When I click on a pdf-link, it gets downloaded.
How do I change that to Opening the pdf?

It is probably something simple, but please tell me what.

I searched the very minimal Preferences, even with Enable Developer tools On and the More Tools menu.
Couldn't find it.

The Chrome reader was active, but only when I clicked the downloaded pdf.
I turned that Plugin off, so now when I click, my pdf reader starts.
But a pdf is still downloaded.