You may have discovered this when you were attempting to rummage through Internet Explorer's help files, or perhaps you've just downloaded a help file from another vendor with the *.chm file type. In either case you'll see something that looks like this:

This was either caused by a Microsoft Security upgrade or by installing Microsft Windows Server 2003 SP1 which included changes to the InfoTech protocol that blocked the ability to view remote content.
To correct this, execute the following steps:
- Navigate to the *.chm icon.
- Right-click on the icon
- Click Properties.
- Click unblock.