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So in Vista and/or IE8 there seems to be an issue with CHM files which you have downloaded from the Internet, where they just do not load their content.

I stumbled across this with the HMC 4.5 documentation which is presented in, you guessed it, CHM help files. Just like when I found the MSDN Library Broken this is caused by a security feature trying to protect you. To resolve this you need to close the file, right click and select properties. On there in the bottom right hand corner is a nice little Unblock button which once clicked you can then use the file normally.