Some systems seem to block the help file, depending on your version of Windows and the security configuration of your computer.
All you need to do is "unblock" the file. To do this, locate the file railhelp2.chm (or railhelp3.chm for Heritage simulations, or wttehelp.chm for the timetable editor Help). Right-click on the file and select Properties. Click on the Unblock button which should be displayed.
For Windows 10/11: Run Windows Explorer, right-click on the CHM file, and select Properties from the popup menu. Click on the Unblock button immediately below the Advanced button on the General page. Click Apply to show the content. Once the CHM file has been unblocked, the Unblock button disappears.