Also, run "regedit" and check the setting of HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\HTMLHelp\1.x\ItssRestrictions. When your system is set up to prevent you from reading CHM files at certain locations, it's at this place.

If you can read only some CHM files, try to copy the files that you can't open to a folder containing readable CHM files. The security setting on your PC might be drive and folder dependent.