I had the ... "fortune" to fall into similar problems when first installed SP2 under XP.
That's why I had the impression problem was this one.
.chm files can have code embedded. For this reason SP2 understand if a .chm file has been download from internet or created by a seup install. In the first case some protection actions takes place. I have no official Microsoft documentation to reference here but this is what happen nad the above is a possible solution.
Ciao
Eros
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