Compiling your project
When you are ready to compile your project, select Project -> Compile.
The first time you do this, web2help will ask you where to put the CHM output file. You can modify this path later by selecting Project -> Properties.
web2help will attempt to grab the web pages and launch Microsoft HTML Help Worshop. Please make sure you have installed it correctly. If anything goes wrong, errors will be shown in the right pane.
Intermediate files
web2help generates a bunch of files in a temporary directory. They are used to feed HTML Help Workshop, and then discarded.
If you want to have a look at these files, check Project -> Keep HTML Workshop input files before compiling: web2help will tell you the path of the temporary directory (don't forget to delete it when you are done!).