CHM: Navigation to the webpage was canceled

One day, my college asks me to check one CHM file. He cannot read anything from his computer. It sounds easy for me. I plug his USB sticker in my computer and open it. Oops, a window with nothing (Fig. 1)

Fig. 1

So I think Google can help me and do a quick search that comes out tons of the solution. The first one comes from HelpSmith.com with four possible solutions. I try one by one without luck. After digging more helps, one from StackOverFlow.com said just copy it to c:\. It sounds too simple to be true. Anyway, what can I lose? Then, it shows up flawless.