See Microsoft KB 892675 for details on how to enable it back and keep a certain security level per your liking (MaxAllowedZone = 2 was just enough for me).Update 28 October 2008 - thanks to Kadir Rahman
Before making any changes to the registry, check the .chm file properties and use the Unlock button if there is one. In my case I didn't have it and the .chm was part of the help reference of a network application I couldn't copy locally so I had to go for the registry change.
Update 08 October 2011
You can also use HHReg - HTML Help Registration Utility to make the registry changes for you.