I recently downloaded documentation for an API that was in the CHM ("compiled HTML") format used by Microsoft.

I was able to open the file and see the Help table of contents, but no actual content was displayed.

My first online search suggested that the problem may be a UNC (network) path, but that was not the case.

Rather, I had to open the file properties dialog (right-click in Explorer, click Properties), where I saw an Unblock checkbox:

This checkbox should be checked. Note that once you click OK and then open this dialog again, this checkbox will have disappeared completely.