This indicates an attempt to gain unauthorized access to a local system files via Microsoft Internet Explorer (IE) cache mechanism.
IE is designed such that files are handled differently when accessed directly than when accessed via cache. In general there are more restrictions on file processing via cache for security purposes. An attacker can cause a malformed compiled HTML help (CHM) file to be downloaded onto a vulnerable machine and learn the physical location of the cached files. Since direct file access is less-restrictive than cache access, an attacker can cause arbitrary code to execute on the target system.
Microsoft Internet Explorer versions 5.x and 6.0
An attacker can execute arbitrary code on infected systems
Leak of information may assist future attacks
Apply appropriate patches or upgrade the system to the latest non-vulnerable version