Problems with compiled HTML Help (.chm) files
When the beta of Windows Installer 4.5 became available, first thing I did was downloading the white papers and the SDK documentation, which comes as compiled HTLM Help file msi.chm. But when I launched the help file it didn't work.
When I double clicked the msi.chm file the usual security dialog was displayed, warning me that files downloaded from the internet can be harmful:

Security warning dialog
After confirming that I wish to open it, the help window opened, but the content pane only displayed error messages like in these screenshots:

Initial error message after opening the help file

Error message after selecting a topic
To see if the problem only affects me I contacted fellow MSI expert Christopher Painter to see if the help file works for him, which it does. Christopher pointed me to the following knowledge base article, but unfortunately this was not the cause for my problem (the msi.chm file was on my local hard disk):
Christopher also suggested that it might be some IE securtity issue. That pointed me in the right direction. I moved the chm file from my NTFS formatted hard disk to a FAT formatted USB memory device, and then back to the hard disk. I did this to remove the information that the file was downloaded from the internet, which Windows stores in an extra stream that can only exist on NTFS.
After this operation the msi.chm file worked! I also reproduced the problem with another .chm file I downloaded from elsewhere, with the same result. So this appears to the a general problem with .chm files.
Later I found another workaround. On the Connect site there also a download manager ActiveX control (called FTM - file transfer manager) which apparently also removes the meta information from the downloaded file. So using FTM instead of directly downloading the msi.chm file also avoids the problem.