Are the files ones downloaded from the internet? Were they in a compressed
package, such as a .zip file? Before extracting the files, right-click on
the .zip file, for example, and choose Properties. Then on the General tab
of Properties, click on Unblock (Apply, OK). Then Extract the files, and
place them where you want them. Otherwise, unless the .zip is unblocked,
each and every file that is extracted will be marked as "Blocked", and give
you that warning when one of the extracted files is opened. You can
individually Unblock each file (.chm, .exe, etc.), if that is the case, but
it's easier just to Unblock the .zip container initially.
If using Internet Explorer to download the file, the Open File Security
Warning is applied to the downloaded file automatically, and the warning
will persist until the file is unblocked. The user has to Unblock the file
as I indicated, as there is no way to do this automatically. And yes,
unless this is done, an .exe. will give the warning, and a .chm file will
fail to load its content...