Here is the issue:  When I attempt to view a CHM file that is located on a network share via a UNC path (or mapped drive) from a Vista machine, first it bugs me then it completely fails.  I asked Google and there are a few other fixes out there, none of which were both simple and global.  For more background on the actual issue as well as some other solutions see this post.

This solution uses the mklink command that is included with windows vista to create a directory symbolic link (which can traverse a UNC) from a local path to the network share where the CHM files are located.  If the new symlink path is used to open the CHM, it bypasses the check that disallows a file from another zone from accessing the local computer zone.

Walkthrough

Attempt to open the UNC pathed CHM and we see this:

Click Open and the CHM looks like this:

Open a command prompt and use the mklink command to create a symbolic directory link from a local path to the UNC where your CHM files are:

When you open a CHM file using the symlink path there will be no prompt and the pages will be intact.