This page seems relevant to the cause of th e message.
What I am not understanding is why you get that on opening the help. Is the default topic trying to access something? Maybe with the information in the link above, you can figure out what is happening.
Interested to know what you find.
See www.grainge.org for RoboHelp and Authoring tips
Well, after some experimentation the following cleared up the problem.
1. Delete all contents of the Output and Published folders.
2. Generate all of the content again, this time selecting the content to be W3C compliant AND NOT have the "Mark of the Web".
3. Republish all help.
This clears up all the security warning issues.