Why doesn't this CHM work on Windows Vista?

I recently downloaded the Silverlight 1.1 SDK. I wanted to start reading the doc's which come in Compiled HTML Help files - you know those *.CHM files. I drag some out of the downloaded ZIP, confirm to Windows Vista that I really want to open this file, and nothing seems to work right in the details pane.  It reads "Navigation to the webpage was canceled".

Hmmm. What is this? Nope, nothing strange like the file being read only. But, I do notice this "Unblock" button in the file properties.

So, I click this, re-open the CHM file, and bingo - the content now shows.  What gives?

This is a security feature that has early roots in Windows XP SP2 and improved in Windows Vista. Basically, files downloaded from the Internet are untrusted sources - until I unblock them.

Windows Vista is good!