yes, that did it. Apparently the file was blocked but the UNBLOCK button was not present. Using the powershell command fixed it.
However, before I used the powershell unblock-file .... command, what I was seeing when I tried to open it was an error message like this
Open File -Security Warning
Do you want to open this file?
Publisher: Unknown Publisher
Type: Compiled HTML Help file
While files from the Internet can be useful, this file type can potentially
harm your computer. If you do not trust the source, do not open this
I would press the OK button but that would merely open the file and the content was blank.
Once I unblocked it using the powershell command unblock-file, I could double-click the CHM and it worked fine. No warning dialog popped up, and the content appears.
I have seen similar issues with other applications at my workplace. I think we have some strict policies in place that seriously hinder opening any files that do not have a trusted publisher. I'm putting all this detail in here in case someone else has such