CHM and Windows Vista or Windows XP SP2

I was struggling to open up .chm file, which is a legacy Help file, I was trying to open it up in Windows Vista it opens up but when I try to navigate through chm file all I see is navigation is canceled, this is not just with Windows Vista, but Windows XP Service Pack 2 (SP2) also faces same problem.



I was going through file properties and noticed something, and clicked on Unblock button and then tried to open it up and yes it opens up :)