Opening a .chm file

Here is the problem we created a phone book which has a .chm extension, when open from your local drive it opens with no problem, but when we put it out on our file server which is Windows 2003 and try to open it from the network share drive it opens but does not display correctly some info is missing or some pages have the Action Canceled page saying IE was unable to link the webpage you requested. What are we doing wrong? Again if you have the file on your local drive it opens fine.

Thanks