The other day I downloaded the Silverlight Toolkit controls and was attempting to view the accompanying help file when I ran into the same problem I had the first time I used the Silverlight .chm file; the contents of the help file wouldn't display. If you are running Vista, you need to unblock the file. You do this by right clicking the file in the file system, selecting "properties", and clicking "Unblock" near the bottom of the properties dialog. Once you unblock, you are good to go. For more details, including pictures, see Jeff's post.