I suggest using the "Extract" ConvertLIT GUI option to explode the LIT to HTML+IMAGES+OPF. If the HTML is a single file (it isn't always), then convert it to PDF with your favorite editor. Two options are Open Office or the web browser plugin
PDF Download by Nitro PDF Software. Not all LITs contain a single HTML file, and it might be tougher to convert a multi-file HTML to PDF, but first see what you get.
Note that ePub and MOBI are easy to create from LIT using Calibre (has its own forum), and you might like Adobe Didital Editions (ePub) or Windows MobiPocket Reader better than MS Reader. For that matter, Calibre has its own reader application.