I also took Mr. Bailey's question in this way - obviously search engines index the fact that there is "foo-bar.pdf" which has an anchor link in an HTML file.
They key and very important question is "Can search engines search for and index content inside a PDF file" which is linked inside an HTML file". I'm surprised the answer above is listed as the correct one. It's certainly accurate, but does not answer Mr., Bailey's (and now my) question.