<p>Is there a free software for creating windows help files for your program?</p>

<p>I would like something that allows an output of both CHM and HTML files.</p>

If you're developing for .NET and you're looking to generate XML documentation help files you should look into Microsoft's shared-source
Sandcastle
project, and the front-end GUI for it "
Sandcastle Help File Builder
."
It's pretty nice and highly configurable. You can make some really good help documentation using it.
It was a little slow the last time I used it (over 6 months ago) but it may have been optimized since then...