IMPORTANT ABOUT HELP FILES:

If you download a .chm help file (like all of mine are) then you may need to unblock it in order for it to display correctly.

In Explorer, right click on the help file and select Properties. Near the bottom you should see where you unblock it. 
Click there and the help file should work as intended.

NOTE: There have also been instances where the exe file itself needed to be unblocked. Same procedure.

(Thanks for the confusion, Microsoft!)