I was also using this from a shared network drive. But copying it to my local computer did not make any difference and still got the same result. However, right-clicking the file, selecting properties I notice an "unblock" button at the bottom of the properties window. Once unblocked I am able to view the .CHM file with no problems on my local drive but unblocking makes no difference when viewing it from the shared drive. I can deal with viewing it from my local drive.
Hopefully this post will help those with similar issues in the future. Thanks for your input.
Jason