Navigation to the webpage was canceled in chm file

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I downloaded a big help file. I was able to open and read it on the Linux Machine at work, however when I got home and tried to open the same file on my Windows Vista machive I got "Navigation to the webpage was canceled". This is happening becuase windows does not trust the file.

1. Right click the help file (.chm) file and go to Properties
   
2. At the bottom of the properties windows you will see security note saing "This file came from another computer and might be blocked to help protect this computer". Click Unblock.
   
3. Click Apply and OK
4. Double click the help file and good luck finding answers