This will be because it will clear the memory of where you set the colour palette to be.
For future reference, another option would be to change your screen resolution.
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Open OPTIONS and go to the SYSTEM tab. In there open the Performance Settings and then uncheck the degrading options that you wish. Bare in mind that this will likely slow AutoCAD. If you need any more help then you can always catch me at www.elcad-ent.co.uk
I will also check back here...
If you are an Autodesk Subscription customer then you can download a bonus pack for AutoCAD 2009 from the subscription center. This will include a number of tools for handling PDF files in AutoCAD.
Also, as has been mentioned AutoCAD 2010 has now been release which includes PDF handling...
