Had the same symptoms on Windows 8, without any Unblock prompt. This link provided solution (even though it was stored locally):
http://tenbulls.co.uk/2014/02/11/read-your-old-chm-files-from-network-storage-on-windows-8/
http://tenbulls.co.uk/2014/02/11/read-your-old-chm-files-from-network-storage-on-windows-8/