Microsoft decided to use Internet Explorer as the basis for the HTML Help system (files ending in extentsion "chm"). Unfortunately, this means that any code that exploits vulnerabilites of Internet Explorer can be hidden in .chm files.
In an attempt to lessen the impact of this terrible security breach, Microsoft released a patch (some time last year, I think) which makes .chm files unreadable over the network.
This comes into play because Autocad uses .chm files as the basis for its help system. The only time you are likely to notice a problem is if you have created a custom help file. I created one, and decided to put it on the network (rather than each individual user's computer), so that if I make changes to it, I only need to change it on the server. That's how I ran into this problem.
There is a fix for this problem, which involves relaxing the security level of specified URLs. This can be used to give all users access to a .chm file in a shared network location. Details can be found here:
http://support.microsoft.com/kb/896054/en-us
It sounds as though the help system for the next version of Windows (Longhorn?) will have a completely different help system that avoids this issue.