It's related to Windows security zones. Most likely you have the help file on a network share and you need to unblock it.
This can happen in a few different ways:
* CHM files on a network share (in intranet security zone)
* CHM file copied from a Web download or downloaded zip file
This basically sets a file security attribute that then refuses to open the Web browser required to load the topic.
Here's an old blog post that talks about some of the issues:
Problems-with-opening-CHM-Help-files-from-Network-or-Internet>Hello all,
>
>I can launch the FoxPro help by pressing F1 but if I double click on a topic for example. I cannot see all the informations that should be displayed.
>
>Suggestions to correct this?