..., click properties, and then click the unblock button before unzipping. Otherwise the two chm help files in the zip file will either appear blank or say webpage not found.
Tip: Use NuZip to zip CHM files to prevent gmail from rejecting the attachment: http://sourceforge.net/p/nuzip
For programmers, a framework is provided that shows you how to link specific screens in your application to specific sections in the help file.
NüHelp is written in C#