I reproduce the same problem:
In IDLE, add a new entry in "Options/Configure/General/Additional Help 
Sources", and browse to the C:\Python31\Docs\Python31*.chm file.
This new entry appears in the "Help" menu.

Now, if you un-install this version and install another, the file you have 
chosen is no more present, but still listed in the preferences.
This causes errors if you try to open it...

The proposed patch is correct, except that an error in webbrowser is more 
likely to display some 404 error and not raise an exception.