Run an HTA as an embedded object in a sheet for help

[XP]

Using Office 2003 and Windows XP;

I would like to write a help file in an HTA and then embed that as an icon
in an Excel sheet. I tried this on a test basis using the following function:

Sub Test_this()
Worksheets("HelpSheet").OLEObjects("HelpFile").Activate
End Sub

This opens the HTA, but I get two security warnings when doing so, which is
rather annoying for a "Help" file. Is there a work around for using an HTA?

I know PDF will work, but that gets into other issues, such as versions,
where they are installed etc.

Thanks much in advance.