The Adobe PDF reader locks in the file that is open such it is not editable unless you close it. That's the reason of the error "I can't write yourfile.pdf" when you compile from a shell before closing the pdf view; or why the document is closed before compilation when you use something like TeXnicenter. A lean, portable (no need for admin. rights), pdf viewer that allows you to compile and having an automatic preview of your work is Sumatra PDF, available at:
http://blog.kowalczyk.info/software/sumatrapdf/index.html
Simply open your document using Sumatra, edit and compile using your favorite way, and you will have the changes right in front of you without the need to navigating the entire document to see if the changes took place.
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Here's some more about Sumatra: http://www.texniccenter.org/news/118-syncing-with-pdf-files
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