I downloaded the .chm file from some site when I tried to open it to get the message "the page cannot be displayed".
Right-click the file, select the properties, and then click Unlock.
Delete unnecessary file names (for example, "&" or others). Put it in your locally accessible folder on your hard drive (somewhere on the desktop) and see if the content is displayed or not.
You open the file over the network. Since there is a security issue in this case, see below:
http://www.helpscribble.com/chmnetwork.html