You may find that the downloaded compiled help file (.chm) version of the SharePoint Portal Server Administrator’s Guide (found here on microsoft.com) will no longer open correctly after applying the latest batch of Windows XP security updates released last week on 14th June (http://www.microsoft.com/technet/security/Bulletin/MS05-026.mspx). This isn’t specific to the SPS admin guide, but potentially any downloaded .chm file (although the WSS admin guide seemed to work fine).

The solution is to right-click the .chm file, click Properties, and click “unblock”. The guide will then open correctly. See this support article for more details: http://support.microsoft.com/kb/902225

Might save a few minutes of head-scratching :-)