I have just upgraded to Nero 18.104.22.168 on my XP and 98SE boxes. My situation is the same as yours: the help file for CD Speed 1.02g opens normally on XP, but not on 98SE.
I have also tested versions 1.00, 1.01.3 and 1.02e. The earlier versions 1.00 and 1.01.3 work as expected (even when renamed and put in a separate directory together with CDSpeed.chm), but 1.02e behaves like 1.02g. Further, neither 1.00 nor 1.01.3 display help when CDSpeed.chm is missing in the directory in which they reside, or when they are launched in an MS-DOS Prompt window with a different current directory.
Peeking into the executables, I see that the main strings section ends with "open CDSpeed.chm" for 1.00 and 1.01.3, which is extended to "open CDSpeed.chm CDSpeed.exe" for 1.02e and 1.02g. I hope this helps Eric Deppe in locating the bug!