From http://support.microsoft.com/kb/2021383

Symptoms
When attempting to open a Compiled HTML Help (.CHM) file on Windows Vista or Windows 7, the file may open but display one of the following messages instead of the expected content:

– Navigation to the webpage was canceled.
– Action canceled.

Cause
This will occur if the .CHM file has been flagged as downloaded from an untrusted source, such as the Internet.

Resolution
To resolve this issue, carry out the following steps:

– Right-click the .CHM file and choose Properties
– On the General tab, click the button labeled “Unblock”
– Click OK