If your Windows (Win 2000 and above) does not recognize .chm file type there are two most likely causes for it.
1. At some point you had another program installed that was assigned for opening .chm files and later you removed that program from your computer.
2. You performed a custom Windows installation without installing any help system components which are opening .chm files by default.

So I suggest you check to se if Windows help components are installed and reinstall them if necessary to fix file assignments.