Hi there
When you generate your WebHelp, my guess is that you are
using the "Mark Of The Web (MOTW)" feature. With MOTW enabled, any
links to things such as PDF or Word content will fail when you run
locally. This is because if you are on the local file system, nasty
things can be done to you. So the browser blocks links like that.
If you place the content on a server, you should be fine. Or,
you could remove MOTW if you wish to run locally. But then you will
have to cope with the Yellow Information Bar if you view the
content in IE.
Life is always a trade-off, eh?
Cheers... Rick