What do you mean by open the project on the Web? You mean the CHM file? Or the Web HTML files?
If you downloaded the CHM file and open it you need to unblock the CHM help file from Explorer - Windows puts a block on CHM files downloaded from the Internet (either directly or even if in a ZIP file). This only goes away if you install the file with an installer...
More info in the help file and here:
http://www.west-wind.com/weblog/posts/2012/Jan/11/Problems-with-opening-CHM-Help-files-from-Network-or-Internet
+++ Rick ---