The OP did not say "Yeah, it worked", so I am going to add something, as the next time you write a HHW project, if you spent some time without writing one, depending on the authoring tools you use, you have a high probability to commit this error.
I often had that display, but only in one precise case : the paths to the pages were given as absolute paths, which in no case exist in a chm file.
You must start where the project is.
From
C:\HTML Help Project\TestProject\SomeFolder\SomePage.html
do not link to
C:\HTML Help Project\TestProject\SomeOtherPage.html
but rather to
..\SomeOtherPage.html
and also in the [Files] section of the project, avoid the absolute paths. Rather start from the project folder, as I said.
That was particularly frequent for links as in BlueGriffon, I forgot to check the checkbox to make the link relative to the document, which unfortunately does not appear to be the default value.
Not sure but I think I remember this error is also documented for pages on a unit to which the path is not supported : UNC paths, some network units ...