Incase if you are using Adobe Acrobat Reader, you wont be able to bookmark anything. Try using Foxit Reader Pro or Foxit Editor to bookmark pages. The best thing about the software is that it is just 3-4 MB in size and quite feature rich. I find it much better than Adobe Reader. You can also do the same with Adobe Acrobat but thats a huge software, something about 250 MB or so and quite costly incase if you plan to buy it.