I'm sure you found the answer by now but I just ran into the same problem so just in case -
Follow these instructions (see http://www.helpscribble.com/chmnetwork.html
for full article)...
The security patch and its effects are fully described on Microsoft's web site at http://support.microsoft.com/kb/896358
If you trust all the computers on your LAN or intranet (and the people using them), you can lower the restrictions on the Local Intranet zone to allow CHM files to be displayed with the following steps:
1. Click Start, click Run, type regedit, and then click OK.
2. Locate and then click the following subkey:
If this registry subkey does not exist, create it.
3. Right-click the ItssRestrictions subkey, point to New, and then click DWORD Value.
4. Type MaxAllowedZone, and then press Enter.
5. Right-click the MaxAllowedZone value, and then click Modify.
6. In the Value data box, type 1, and then click OK.
7. Quit Registry Editor.
Worked like a charm!