I believe it has something to do with Security Settings in Internet
Explorer, and nothing to do with portal.

Try lowering your security to LOW and Allow everything you can allow (just
to test this) and see if you can open  it than.
Also, you could added your portal  to "Trusted Sites" zone in Internet
Explorer.

I had the same problem with CHM files  in general, after tweaking Security
Settings they started working

Heres the answer I found on the download page
(
www.microsoft.com/.../details.aspx\
-3e33fa13d230&displaylang=en#instructions):
Known Issue: Text in file  not appearing as expected

If you installed Microsoft Windows security updates MS05-026 or MS05-001,
the text in this file might not appear as expected. The messages "Action
canceled" or "The page  cannot be displayed" might appear.

To open  this file to view the text:
1.. click  Download.
2.. In the File Download dialog  box, click Save.
3.. Use the save  As dialog box to save the file to your computer.
4.. Find the file on your computer and double-click it.
5.. In the Open File dialog box, clear the Always ask before opening this
file check box, and then click Open.
For more information, see Microsoft Knowledge Base article 892675.
Worked for me, anyone else?