The Microsoft HTML Help and Visual Studio 2008 Help (MS Help 2.0) formats are generated with free compilers available from Microsoft (Visual Studio Help 2010/MS Help 3.0 does not require a compiler). If you do not have these compilers installed you need to install them before you can publish your projects to these formats.
After installing the help compiler go to View > Program Options > Compilers and make sure that the path to the compiler files are correct. See Program Options - Compilers for details.
If you are still publishing to the obsolete Microsoft CHM/HTML Help format you need the Microsoft CHM compiler. You can download Microsoft HTML Help Workshop with the HTML Help compiler from the EC Software website here:
Incorrect message displayed during install:
HTML Help Workshop is an ancient program that Microsoft has not updated since it was released with Windows 98. When you install it you will see a confusing message telling you that your computer "already has a newer version of HTML Help". This message is an error in the installer. HTML Help Workshop and the compiler have still been installed correctly. The message just refers to the old components for displaying HTML Help in Windows, which have not been needed since Windows 98.
Check the reference to the compiler after installing:
After installing HTML Help workshop, open Help+Manual and go to View > Program Options > Compilers and make sure that the reference to the CHM compiler points to the location where you just installed HTML Help Workshop.
The HXS format is not a help format for normal user applications and it cannot be displayed at all on most users' normal Windows systems. It can only be used for documenting Visual Studio .NET components, in combination with the Visual Studio 2008 .NET programming package. You will only be able to use this format if you are programming .NET components with Visual Studio 2008.
The MS Help 2.0 compiler tools can be downloaded from Microsoft with the Visual Studio Help Integration Kit, which is also known as the VSHIK, but they cannot be used without the Visual Studio .NET package. You will need to search for the VSHIK on Microsoft's MSDN site as they frequently change the download location for this kit.
The MSHC format is the successor to MS Help 2.0/HXS for Visual Studio 2010. It does not require a compiler, MSHC output is generated directly by Help+Manual. However, it too is only relevant for Visual Studio 2010 .NET programming components. It cannot be used to document normal applications and is not relevant outside of the Visual Studio 2010 programming package.