Here's a link that explain how to make a help collection like the old PSDK used to be. It is not documented by MS, apparently. A help collection is where many CHM files are brought together at run time and displayed in the same help window. The collection is the file with a .COL extension.
http://fox.wikis.com/wc.dll?Wiki~HtmlHelpCollectionsVery handy, sometimes.
John