As a publisher of a Help Creation tool in Help Builder, I’ve seen a lot of problems recently with people not being able to run their help files properly. Here’s the scenario: You go ahead and happily build your fancy, schmanzy Help File and deploy it to your customer or let your customers download them off the Internet directly.
Your customer opens the help file and gets:
– a help file that comes up with all topics in the tree on the left, but a Page Not found or Operation Aborted error in the IE content window; an IE error. The error looks like this:

...a help file that comes up with all topics in the tree on the left, but a Page Not found or Operation Aborted error in the IE content window; an IE error. The CHM file obviously opened since the topic list is there, but IT refuses to display the content.
A phone call later with a pissed of customer and you’re still no wiser what the hell is going on…
As you can probably guess, it turns out this is not a problem with the help file, but a problem with Internet Explorer and security. Specifically what happens is that IE is refusing to open the content from a network location. The issue is that the CHM engine is essentially driven through Internet Explorer via an ActiveX control that handles the display and custom manipulation that provides the CHM HTML view behaviors. The problem of course is the ActiveX control as it relates to the security zone.
There are two scenarios that can fail here:
Open the CHM file from a network resource
If you open the CHM file from a network resource such as a mapped drive you will get this error. The fix is to copy the file to a local drive and then it should work.
CHM File downloaded from the Internet
You’ve downloaded and directly opened a CHM file from the Internet in the Temporary Internet folder. This folder is isolated and treated specially as Internet Zone content. Most likely it will not allow running the ActiveX content that actually drives the CHM engine. Solution: Don’t ‘run’ the CHM file off the Web, but rather copy it to file first.
There’s more detailed information of the issue and links to Microsoft KB articles as well as some nasty workarounds for this issue here:
http://www.helpscribble.com/chmnetwork.html
But the options described in there are pretty serious involving registry key changes etc. which are fairly intrusive and unlikely that you would want to perform on a software install. The only realistic solution seems to be to copy the help files to a local drive and run them from there.
If you are publishing CHM files on the Internet it's best not to let people download the CHM directly since that goes into your Internet Temporary files, but rather let people download a ZIP file and have them unzip the file locally, which will work.
The security issues with IE are a hassle, especially when it affects what is essentially a non-related application interface. Ah, the complexity of it all has suck written all over it… The bad news is there’s really no way around this short of not using CHM (or MSDN based) help…