Thanks Adam. The artice you supplied solved my problem.
(Will also no doubt come in handy for future help files I try and open)
For anyone else who has the same problem.
1. Copy help files to a local drive (not a LAN share - this includes desktop if like me your desktop is supplied via LAN \ Active Directory)
2. Double click to open the file.
3. Uncheck the checkbox "Display this message in the future".
Worked for me on my Vista dev pc.
Paul.