If you open a CHM files and found out that the contents is not available this mean you are using SP2. Below is some guide on how to solve it.
Apply followings registry settings
If still can solve it, the right click the files then select Properties follow by the Unblock button. If you can't view the Unblock button then make sure that you don't have a # sign in your filename or path.
Refer to this Microsoft KB for more details. http://support.microsoft.com/kb/896054/