The programmer suggested: http://blogs.msdn.com/b/crminthefield/archive/2011/02/21/quot-navigation-to-the-webpage-was-canceled-quot-error-is-displayed-when-trying-to-open-and-view-the-microsoft-dynamics-crm-2011-implementation-guide-ig-chm-file.aspx
It will be different for different versions of windows. But basically right click the EXE file and look for a setting to give the file full permissions.
Also the automatic ebook blocking is now solved, but I have to create all the EXE files again which will be done in the next few hours. I'll post a different update about that.