Are you having problems generating the chm file or viewing the already generated chm file?

To use the chm option, you need to download the html help compiler.  You can get that here: http://www.microsoft.com/downloads/details.aspx?FamilyID=00535334-c8a6-452f-9aa0-d597d16580cc&DisplayLang=en

Once you've installed it, to locate hhc.exe, you can usually it in: C:\Program Files\HTML Help Workshop