下载了文件打不开。怎么解决？谢谢！

下载了文件, 是 from Megaupload, compiled HTML 文件. 打不开。怎么解决？

Click 文件 后，出现一个小窗口：

Open File - Security Warning:
Do you want to open this file?
I clicked "Open".
Then 出现another小窗口 :
You have chosen to open ...(file name) which is a: Compiled HTML Help file from c:...
Would you like to save this file?

If I click "Save File" the same file is saved a copy.
If I click "Cancel" then nothing opened.

奇怪的是我用IE或FireFox都不行.如果用 Microsoft HTML Help Exutable 打开，它提示不能navigate.