Adobe reader (formerly Acrobat reader) will not allow you to transform files in to PDFs, it only allows you to read existing PDFs. There are a few ways you could go about creating them.
Probably the most basic way would to be buy a copy of Adobe Acrobat (it comes in standard and professional; standard should be fine for this). Then you can scan the documents to whatever format you like--JPG, for example--and use Acrobat to print them to PDF. When you install Acrobat, it creates a "printer" which you can print files to just like any other printer, and it prompts you to save the PDF files.
There are other, non-Adobe programs out there available for download that will do this as well, some of them much cheaper or even free. I don't have much experience with any of them directly, so I can't recommend any one specifically over another, but you can search only for a PDF writer and probably find several to try out.
If you have a Mac, then Mac OS X has the ability to print to PDF built in to it. It should be an option you can choose when printing.
Also, if this is something that you plan to do frequently or have a large document imaging project, there are copier/scanners out there which have the ability to scan directly to PDF, which takes one step out of the process for you and saves time. The trade-off is the expense of devices like that.
One thing you should keep in mind is that if you are scanning a document that has text, the resulting PDF file will not have selectable text; it will just be an image, just like it was a JPG file. Acrobat does have the ability to try to recognize text, and does so usually with success, although it can have trouble depending on the quality of the scan (recognizing the letter o as the number 0 for example). But it won't behave like a text file.
Hope that helps!