Unfortunately there is an issue in Windows when it comes to CHM files downloaded from the internet.  It requires the files to be manually unblocked.  Please follow these instructions. 

After downloading the help file HERE, Windows requires the file to be unblocked before you can view it.  To unblock the help file:

1.  Right-click the file and select Properties.

2.  Click the Unblock button.

3.  Click OK.