When downloading a CHM file, or when unzipping a CHM file, Windows might decide that it is unsafe. Then, when you click Open, it doesn't render the HTML content.
Here is the solution:
- Run Windows Explorer and locate the CHM file (make sure it is unzipped)
- Right-click on the CHM file and select Properties from the popup menu
- In the CHM properties window, click on the Unblock button in the low right-hand side corner. This allows this single file to be trusted by Windows.
- Click OK (or Apply) to confirm. Once the CHM file has been unblocked, the Unblock button will disappear from this file's properties window.
This problem has been documented under MS knowledge base article 902225.