In the Windows XP there is a little avi video called "clock.avi" which you could use as an example.

1. Copy the "clock.avi", or your own avi file, into the "HtmlHelp\Images" folder of your project. If you look for your project folder in Explorer you will see that there are multiple folders below it. The one you need to copy into is the "HtmlHelp\Images" folder.
2. Position your cursor in your help text and select "Insert | HtmlHelp Control | <TAG>".
3. You can now type in raw html, so type in:
   <img dynsrc="Images/clock.avi">
   and click OK.

When you compile, you will see the avi embedded in your help file. This is contained within your .CHM file so you don't need to ship it. If your avi's are very big and you want to ship then separately then replace the above html with:

  <embed src="type your full path/clock.avi">

The disadvantage is that you need the full path and you need to ship the avi files with your .chm file.