Viewing Downloaded CHM Files
A recent security update (Security Update for Windows XP - KB896358) has modified the behavior of files you download from the Internet. In this case, the download in question is the Team Foundation Installation Guide .chm file.
Option 1
After saving the file locally (for example, to your Desktop), try to open the file. You’ll see a message that looks like this:
To view the content in this file, click to clear the Always ask before opening this file check box, and then click Open.
Option 2
Or, right-click the file, click Properties, and then on the General tab click Unblock.
I should've caught this when the Assistance Platform folks posted this.
And then there is this: After you install security update 896358, downloaded Compiled Help Module files cannot be opened.