For the topic how to create .chm file the first comment is there.
For the topic how to combine .chm files with context I would recommend you to read the following two link's articles:
The author explains all from basic to advance including handling help commands by F1 keyword.
This article provides links to different other site's articles discussing about implementing help with context in window application. And the author has also provided custom help file with source code. I think this link is great for use.