Try this.

Open any folder. Go to Tools -> Folder Options
In the File Types tab, locate the CHM extension
Click Advanced

I have one Action listed for this type (open)
Click Edit

In  "Application used to perform action", this is what I have
      "D:\WINXP\hh.exe" %1

If it's something different for you, you can add a new action or edit
this one. Replace "D:\WINXP\" with the path to your windows folder.

Hope that helps,
Anand
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