CHM files are opened by C:\Windows\hh.exe (hh is short for HtmlHelp). If you look on the file size of this program file you will wonder how a program which should display HTML content can have less than 10 KB. Well, it can be easily explained. It calls the Internet Explorer, to be more precise it calls the DLLs of IE via class. So nearly everything of the CHM file is interpreted by compiled functions packed into DLLs also used by IE. That's the reason why many programs which offer a CHM contains in their requirements also IE4 or IE6. Without IE you can't view any CHM.
What does this mean in practice. If you look on a help page of a CHM, you see it in a window of IE which has not the normal menus and toolbars. Nevertheless, the window is an IE window. ALL
settings you can specify in IE are automatically active also for viewing CHM files because you view the CHM page with IE. For example open help of UltraEdit and select a page which contains an image. Now while this page is displayed, open the Internet Options of IE6, select tab Advanced, scroll down to section Multimedia, uncheck the option "Show pictures" and press button Apply. Switch back to the still open CHM page, click anywhere inside the page to set the focus to it and press F5 to refresh the view. You will immediately see the help page now without the images.
Now you can't wonder anymore that when you click on a WWW link in any CHM help, it will be opened with IE. IE is the browser which shows you the help page, so IE just opens a new instance of itself to load the page from WWW and display it. If you don't like this, contact Microsoft.