I think it's a security warning because those chm-helpfiles could contain active parts and therefore could be blocked by different security mechanism. Security settings from IE (ActiveX, Javascript, ...) are global for windows and there are some more settings, see for example: Re: Qlikview guide don't working.
I would try it at first with a reinstall from qlikview and then speak with the own IT (especially if it's happens with windows own help-files) and ask the qlikview-partner if it's only by the qlikview help.
