I've had problems on my Windows XP machine viewing html help files with the *.chm extension. Also it only happened on files that I downloaded from the internet. When opened, the file has the tree structure on the left and in the right-hand pane says "Action Cancelled"
To resolve this issue, right click on the filename or icon and choose "Properties." Under the general tab you will see a section called "Security" under the "Attributes" section. Click on "Unblock." Now you should be able to open up the file.
If This doesn't solve your issue click here to view how others have solved their problem. This is the site that helped me to fix my problem.