Ok here’s my issue and how to solve this.

If you read the technet magazine and read it online using the CHM file you may have this problem. It is an old issue but today I had this issue.

Source to read : Technet

So If you opend the file you see this.

Mmm strange but if I open the file local I have the same issue, oh ok do properties and use the unblock button. Then open the file.

As you can see the file opens and you can read the CHM file.

Or you can add this regkey then you can open the file direct from the internet

[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\HTMLHelp\1.x\ItssRestrictions]
"MaxAllowedZone"=dword:00000003

MAXAllowedZone values : 

0 - My Computer

1 - Local Intranet

2 - Trusted Sites

3 - Internet Zone

4 - Restricted Zone