Microsoft introduced some security restrictions many years ago that disable functionality in HTML Help files that are accessed over a network, so what you're seeing is almost certainly by design. There are two possible solutions: move the help file to your local drive, or implement some changes in the Windows registry so that you can view the contents of remote help files.
Microsoft's summary of the problem: http://support.microsoft.com/kb/896054
You may try following workaround that lets you explicitly 'unblock' a CHM help file coming from a network drive or internet download. To do this:
- Open Windows Explorer
- Find your CHM file
- Right click and select Properties
- Click the Unblock button on the General tab
For information on how to make the registry changes, see this page:
http://www.grainge.org/pages/authoring/chm_mspatch/896358.htm
Or more straightforwardly, use the free HHReg utility available from the page below to make the required changes.
http://www.ec-software.com/products_hhreg.html