Use the Visual Studio SDK and the help integration kit
Part of the Visual Studio SDK is the Help Integration project type. Information about integrating with help here (MSDN). Same applies for VS 2005 and 2008.
Here's a link to the download, for earlier versions of VS (before '05).
There's an entire development center about the Visual Studio SDK.
The effort feels a lot higher than shipping a .Chm and/or IntelliSense files, but I understand you'd like to add examples, etc.
Consider if it's worth the effort
Are you providing enough information in the IntelliSense documentation files (.xml) for all of your component's assemblies?
More often than not, that's sufficient to provide a lot of information, including additional remarks, notes, etc.
I may just be biased to my development workflow and that of my co-workers, but I can't remember the last time that I saw anyone press "F1" in Visual Studio.
Plus, if you really ever do want a full-blown .Chm help file, your XML documentation comments can be turned into that with little effort thanks to tools like Sandcastle and formerly NDoc.