By default CAPITAL will copy your help files into your local documents folder so you're probably testing the wrong file(s). However, if you have a set of files that do work then it's likely the other set of files are corrupted. If you determine which set are corrupted you can replace them with the good set.
Keep in mind .CHM files are simply data files such as PDF's, .DOC's, etc. They are opened and managed by Windows, not by CAPITAL. If Windows is freezing up trying to open them then the most probable explanation is that the files are corrupted in some way. It will make no difference if you ask for those files to be open or if you ask indirectly through CAPITAL for those files to be opened.