That only works if the Illustrator file was saved with PDF content, otherwise you get this message:
This is an Adobe® Illustrator® File that was
saved without PDF Content.
To Place or open this le in other
applications, it should be re-saved from
Adobe Illustrator with the "Create PDF
Compatible File" option turned on. This
option is in the Illustrator Native Format
Options dialog box, which appears when
saving an Adobe Illustrator le using the
Save As command.