That might be difficult if "on my Macintosh" means "in OS X". But, of course, it's easy if it means "on my Mac, after installing Windows on it using bootcamp".

Support for chm isn't integrated in the Mac, but it's easy to find chm-file readers for OS X. And I surely assume you can make an OS X application that uses that particular format as a help file. But making it is a different story.

I would advice you to post on our general Mac software forum
- there might be better formats to use for a help file than chm, seen from the Mac point of view
- they might know a program to do it

If all else fails, install Windows, as I said above, or find a separate Windows PC (and $100 second hand one would do).

Sorry, but this is not a good forum for Mac questions.