Using Xalan to create HTML Help

[JABakken@dstsystems.com]

I have created several separate xml files that I want to combine into one
.chm file. When you use the docbook htmlhelp.xsl, it automatically creates
the .hhc and .hhp files. But my problem at the moment is more basic.

Each one of my separate xml files is a sect1. I have created a main.xml
file that is a book that contains chapters that contain references to each
one of the separate xml files. (I probably didn't say that right, by
basically my main. xml looks something like:

<?xml version="1.0" encoding="UTF-8"?>
<!DOCTYPE book SYSTEM "file:///C:/DocBook/DTD/docbookx.dtd" [
<!ENTITY section01 SYSTEM "First_Topic.xml">
<!ENTITY section02 SYSTEM "Second_Topic.xml">
<!ENTITY section03 SYSTEM "Third_Topic.xml">
<!ENTITY section04 SYSTEM "Fourth_Topic.xml">
]>
<book><title>Help System</title>
<chapter><title>First Sections</title>
&section01;
&section02;
</chapter>
<chapter><title>Second Sections</title>
&section03;
&section04;
</chapter>
</book>

I've tested my main.xml and it's valid. My problem is that when I go to
create the html, I get the following error message:

<Location of error unknown>XSLT Error
<javax.xml.transform.TransformerException> :
java.net.MalformedURLException: no protocol: First_Topic.xml

I've gotten this message before, and I can't remember what I did to fix it.
Any ideas?

Thanks.

-JB