We discontinued CHM support for SDK documentation two releases ago in order to focus on HTML-based help. However since many users asked us for CHMs on the 3ds Max feedback forums: http://3dsmaxfeedback.autodesk.com/forums/80701-sdk-and-scripting-enhancements/suggestions/2099795-compiled-maxscript-reference-chm- we have decided to bring back CHM for the 3ds Max SDK and MAXScript.
Check out the new help on our updated SDK help page at: http://www.autodesk.com/me-sdk-docs.