This is what conkeror outputs when I try to open files (such as .pdf) with an external program (such as
xpdf):

download state change: http://[somefile]: -1, 5, [someid]
download state change: http://[somefile]: 5, 0, [someid]
deleting download: [someid]
download state change: http://[somefile]: 0, 1, [someid]
Error: encountered unknown download

And then, the external program is never started.

I have also encountered this bug, but only for PDF files from what I can recall.  I don't remember trying
to open anything else directly from Conkeror.  I also vaguely remember that it used to work in a previous
revision.

This is not a file type specific bug but seems to occur with all the files conkeror does not
automatically open internally or via mimeTypes.rdf. By the way, the latter also provides a work-around:
If you are willing to let conkeror run the same command on all, say, PDF-files, you might want to edit
mimeTypes.rdf accordingly (e.g. with the help of the preferences dialogue in firefox, under "Applications").

I believe this may be related to the download manager preference for automatically deleting downloads
(from the download manager, not the saved file itself) after they finish.  Unfortunately, if that is
enabled, Conkeror does not properly handle things.

You're right. Changing 'browser.download.manager.retention' to a value of 1 or 2 makes conkeror handle
the downloads correctly. I wasn't aware of that preference. Thanks much!

Although I'm happy with this solution I won't close the bug report since the bug still persists. I have
also added an entry on 'http://conkeror.org/CommonProblems'.