Recently, I downloaded the Sysprep package from Microsoft for XP SP3. It does not really matter why. The package was expanded and the contents explored. However, what happened next was unexpected. See the screen capture below:
“The address is not valid” ! How baffling is that? Not only is it not using the Internet to get the content, there is no context information describing how this happened. My first assumption was that I did not have the same version as the content. This turned out to be untrue.
The truth is that Windows is blocking the content since it came from another computer. If you look at the properties of the CHM file, it will show ‘Unblock’ as an option. Select Unblock and the problem goes away the next time you run the CHM.
If you would like a more detailed explanation, check out this post.
Live near Brisbane, Australia. Software developer currently focused on iOS and Android. Avid Google Local Guide
Red Circle Blog 
Hello,
Just got the same thing on Process Monitor (Sysinternals) and wanted to thank you for your post.
Cheers
Gwiom
Nah its one of the many bugs of Windows. You should get used to that.