Unfortunately, this is a US Navy PC and is locked down tight. The program that reads .chm files is physically blocked from execution by a Host-Based Security System. I've tried this and I get an "access denied" dialog (referencing the program, not the file).
We also don't have the privileges or permission to install the programs to our PCs that use the other type/format of documentation on the same page you referenced, so that's not an option.
Windows Help Viewer 2.1, executed from either the Start button or from Visual Studio Help menu, finds the installed MF documentation. It just displays it as raw HTML. While my command's Systems and Information Assurance staff are (still) trying to figure out how this supposedly server-only IE ESC is affecting my Windows 7 PC, I figured I would try this other work around. I won't have to get permission for somebody to install anything.
So, where are the HTML help files installed on my PC so that I can add the path to one of the IE zones?