The problem could occur if you are trying to open the ".chm" file from a network drive or due to some Windows updates. One of these links may be helpful:

www.helpandmanual.com/products_hhreg.html
www.grainge.org/pages/authoring/chm_mspatch/896358.htm
www.helpscribble.com/chmnetwork.html
social.msdn.microsoft.com/forums/en-US/slpscodeprotector/thread/0d305495-f697-4644-a79e-51530b8c4530/
geekswithblogs.net/evjen/archive/2006/06/29/83567.aspx

And you can find more posts on this using Google.