How to Fix This
The easiest way to fix this issue is to set properties on the CHM Html Help file and allow it to be opened right when you download or open it for the first time:
There’s more detailed information of the issue and links to Microsoft KB articles as well as some nasty workarounds for this issue here: http://www.helpscribble.com/chmnetwork.html. Unfortunately on newer versions of Windows you won't even see this dialog - you'll get straight into the help file but with the topic not displaying and no hint as to what's going on.
Another option is to right click on the file's properties and 'Unblock' the file so that the security block is bypassed:
This latter approach is probably the better choice as it's not a global setting but specific to the particular help file. Once set Windows will display the help file properly and without any extra prompting for security. However, if you do the latter you have to do it to each file individually.
It's annoying as all hell that this sort of obtrusive marking is necessary, but it's admittedly a necessary evil because of Microsoft's use of the insecure Internet Explorer engine that drives the CHM Html Engine's topic viewer. Because help files are viewing local content and script is allowed to execute in CHM files there's potential for malicious code hiding in CHM files and the above precautions are supposed to avoid any issues.