This option is found on the "Application Support" tab in "WinHelp Compiler Options".
If you check this option Fast-Help will create a file with the same name as the Project file name, but with the extension ".bas". This can then be used to integrate into your application. You can optionally precede each line with text as in the screen-shot above. Any text in the "Append..." box will be added to the bottom of your .bas file.
Check this option to create a ".h" file. This will have the same file name as your Project file name, but with the extension ".h". You can then use this header file in your C++ Application.