When I try and open a help file (.chm) that resides on a unc path I get the following error:
"Navigation to the webpage was canceled".
If I copy the file locally I am able to open it.
I imagine there is a security tweak to make this work.
See KB article http://support.microsoft.com/kb/892675/ which includes detailed explanation of the issue, examples and methods for deploying changes across your domain. I've copied a couple of examples below for reference.
If you want to permit opening of all CHM files in the "Intranet" zone, then the following registry entry will do the trick.
If you want keep things more secure and only permit access to CHM files on a certain UNC path, then use the following instead replacing \\productmanuals\helpfiles with the UNC path that you want to allow (don't forget to use double backslashes)
The answer I gave for a similar question may also apply to you - thought I would at least throw it out in case it did.