If you download a chm file, or receive it in a mail, it’s likely that you will get the following exception when opening it:
In order to make it work, save the chm file to a local drive; right click it and select properties, and click unblock. Open it again and now it works:
Also, if you download visual studio projects from a web site as a zip file, you have to do unblock the zip file in the same way before unzipping it, otherwise visual studio will also give you warnings that it is not trusted.