It's easy! You only need a good help authoring tool like Helpinator and a cup of coffee. Helpinator will allow you to create nice and user-friendly chm help files with step-by-step walkthroughs, annotated screenshots, "see also" links and other cool and useful things.
Microsoft Compiled HTML Help (.CHM) is a proprietary format for online help files, developed by Microsoft and first released in 1997 as a successor to the Microsoft WinHelp format. It was first introduced with the release of Windows 98, and is still supported and distributed through Windows XP, Vista and Windows 7 platforms.
Specialized help authoring tools like Helpinator significantly simplify development of HTML Help files.
Follow this link to download Helpinator distribution package:
Unzip it and read "readme.txt" file carefully.
Microsoft Help Workshop (htmlhelp.exe) is a required prerequisite, so install it before installing Helpinator. Helpinator calls this Microsoft HTML Help compiler to create CHM file.
Run helpinator3professional.exe and follow the instructions.
Run Helpinator. Now you can add topics to your project. You can add topics one by one or use "Add several topics" button to add a number of topics at once. You only need to care about titles, context ids will be assigned automatically.
Now you can write topics. Helpinator has WYSIWYG editor with all standard functions - font styles, tables, hyperlinks and more.
Click "Compile CHM" toolbar button to create CHM file.