It seems it’s not clear for everyone. When you download a compiled HTML Help file from the internet, the file get’s tagged as insecure. Now when you open the file, the content get’s block unless you remove the lock..

Screenshot (this is not an error of this page

To unlock the the file, just right-click it in explorer and chose properties. Under Genereal you’ll find an unlock button

that’s it. Now you can open the and read the file as usual..