I find the answer finally. A post at west-wind.com tells me that I need to do a registry hack to have CHM reader(hh.exe) use IE8 rendering mode, otherwise, hh.exe uses at most IE7.
The registry hack is: Save the following code to a .reg file, then double click to import into registry.
REGEDIT4
[HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Internet Explorer\MAIN\FeatureControl\FEATURE_BROWSER_EMULATION]
"hh.exe"=dword:00001f40
OK. At least there is a solution for IE8 M$ system.
This question is related to Will the IE9 WebBrowser Control Support all of IE9's features, including SVG?