Unfortunately Not In Vista / Windows 7 / Windows 8
Support for WinHelp has been dropped by Microsoft in Windows Vista. If you are using Vista then the WinHelp options are disabled by default. To enable them go to "Project Settings" and check the option "Show WinHelp Options Under Windows 7/8".
This screen compiles your help file into a .HLP file. The ".hlp" extension is automatically added to your file name. The Title will appear on the top of your compiled help file. Although there are very few options on this screen you can click on the button at the bottom of the screen to see more WinHelp specific options.
Compression in WinHelp can significantly reduce the size of your help file, but it takes a very long time to run. This option should only be used when you are ready to ship your final help file.
Automatic Browse Sequence
On the "Properties" tab on the "WinHelp" page is the BrowseID field. This number is a sequence that controls how the user can step through your help file using [<<] [>>] browse buttons. You can manage these BrowseIDs yourself or select this option on the Compile screen to have the BrowseIDs automatically generated for you. The sequence is based on the contents structure so that the user can naturally follow from one topic to another.
Automatically Sort the Index
When you add a new Topic a Keyword is automatically added to the Index tab. It is not sorted though, so it will initially appear at the top. If you check this option it is like clicking on the "Sort Index Alphabetically" button on the Index tab.
Copy Compiled Help Files To...
If you click the Right arrow you will see more options allowing you to select a destination folder and showing you what files will be copied. If you check this option then after compile, your help files will be copied to the specified folder.
Click [OK] to begin the compile. Your help file will be displayed on completion.