Mark Of The Web (MOTW) is an option that is designed to allow content to display in the browser. It's IE specific.
When you generate WebHelp, the "recipe" used (found in your "recipe box" or the Single Source Layouts pod" determines how WebHelp behaves. Depending on the selections made for your WebHelp recipe, there are different bits of JavaScript that are added to each of the HTML pages that end up in the output. MOTW will cause one additional line of code to be added.
When the Microsoft IE browser loads a page from the local file system (anything beginning with a drive letter) it will normally balk at things such as JavaScript because they are deemed to be a security risk. MOTW is designed to prevent that from happening.
The down side is that links to things such as Word documents or PDF documents will not work.
Normally, once you copy the WebHelp to a web server (NOT a network server) these links then work fine.
See, when a Web server presents the content, it ends up in the Temporary Internet Files location. And by default, that location is "safe", because the operating system has walls around it that prevent content from accessing your local file system. If the content were allowed to access the local file system, they could do some pretty nasty things to you.
Cheers... Rick 