Since this isn't in any way related to Java, I've moved it here from Beginning Java.
You need Microsoft HTML Help Workshop. I do know that this used to be distributed with Visual Studio, but that was many years ago, and I don't know whether they continue to bundle it with present avatars of VS.
I believe there are also third party programs to generate .CHM (compiled HTML) files, and some of them may even be free. Did a net search turn up anything?
There are no new questions, but there may be new answers.