Link to sections inside external files (hyperref, hyper-xr)

I am trying to create hyperlinks in a pdftex-produced PDF file, that 
point to certain sections within another one.

The document being linked to contains:
...
\label{mytarget}
\hypertarget{myothertarget}
...


The code for the one containing the hyperlinks is:

\usepackage{xr-hyper}
\usepackage{hyperref}
\externaldocument[myfile,]{myfilename}
...
...
\ref{myfile,mytarget}{my link}
\href{myfilename#myothertarget}{my other link}
\hyperref{myfilename}{section}{2}{yet another link}
...
...

All three methods work only up to a point: When I click the link, the 
file myfilename.pdf is opened in AcrobatReader, but no jump to the 
linked section is performed.
Besides that, the first document is closed after the second is opened. 
How can I avoid that from happening?

Update:

While I was writing this,  I noticed that everything works perfectly 
when I use Acrobat Reader 5.1 instead of 6.0! Is this a bug, or some 
preference setting in v6.0 that I have overlooked?


        Guido