Я пользуюсь:
Function ulong HtmlHelp (ulong hwndCaller, string pszFile, uint uCommand, ref string dwData) LIBRARY "hhctrl.ocx" Alias for "HtmlHelpA"

Пример вызова:
HtmlHelp(Handle(aw_Riquestor), "UserGuide.chm", 0, "ugPart1.chm::/файл.htm")

Для компиляции chm'ок использую HTML Help Workshop.

P.S. UserGuide.chm является "оболочкой" для "ugPart1.chm", "ugPart2.chm" ...

constant uint HH_DISPLAY_TOPIC = 0 //0x0000
constant uint HH_HELP_FINDER = 0 //0x0000 // WinHelp equivalent
constant uint HH_DISPLAY_TOC = 1 //0x0001 // not currently implemented
constant uint HH_DISPLAY_INDEX = 2 //0x0002 // not currently implemented
constant uint HH_DISPLAY_SEARCH = 3 //0x0003 // not currently implemented
constant uint HH_SET_WIN_TYPE = 4 //0x0004
constant uint HH_GET_WIN_TYPE = 5 //0x0005
constant uint HH_GET_WIN_HANDLE = 6 //0x0006
constant uint HH_ENUM_INFO_TYPE = 7 //0x0007 // Get Info type name, call repeatedly to enumerate, -1 at end
constant uint HH_SET_INFO_TYPE = 8 //0x0008 // Add Info type to filter.
constant uint HH_SYNC = 9 //0x0009
constant uint HH_RESERVED1 = 10 //0x000A
constant uint HH_RESERVED2 = 11 //0x000B
constant uint HH_RESERVED3 = 12 //0x000C
constant uint HH_KEYWORD_LOOKUP = 13 //0x000D
constant uint HH_DISPLAY_TEXT_POPUP = 14 //0x000E // display string resource id or text in a popup window
constant uint HH_HELP_CONTEXT = 15 //0x000F // display mapped numeric value in dwData
constant uint HH_TP_HELP_CONTEXTMENU = 16 //0x0010 // text popup help, same as WinHelp HELP_CONTEXTMENU
constant uint HH_TP_HELP_WM_HELP = 17 //0x0011 // text popup help, same as WinHelp HELP_WM_HELP
constant uint HH_CLOSE_ALL = 18 //0x0012 // close all windows opened directly or indirectly by the caller
constant uint HH_ALINK_LOOKUP = 19 //0x0013 // ALink version of HH_KEYWORD_LOOKUP
constant uint HH_GET_LAST_ERROR = 20 //0x0014 // not currently implemented // See HHERROR.h
constant uint HH_ENUM_CATEGORY = 21 //0x0015 // Get category name, call repeatedly to enumerate, -1 at end
constant uint HH_ENUM_CATEGORY_IT = 22 //0x0016 // Get category info type members, call repeatedly to enumerate, -1 at end
constant uint HH_RESET_IT_FILTER = 23 //0x0017 // Clear the info type filter of all info types.
constant uint HH_SET_INCLUSIVE_FILTER = 24 //0x0018 // set inclusive filtering method for untyped topics to be included in display
constant uint HH_SET_EXCLUSIVE_FILTER = 25 //0x0019 // set exclusive filtering method for untyped topics to be excluded from display
constant uint HH_INITIALIZE = 28 //0x001C // Initializes the help system.
constant uint HH_UNINITIALIZE = 29 //0x001D // Uninitializes the help system.
constant uint HH_PRETRANSLATEMESSAGE = 253 //0x00fd // Pumps messages. (NULL, NULL, MSG*).
constant uint HH_SET_GLOBAL_PROPERTY = 254 //0x00fc // Set a global property. (NULL, NULL, HH_GPROP)

Пример.