That option are already there; MSDN stores help files in a xml collection, wich you can manipulate to include your own .chm collection if needed.
U need to find two files, msdnxxx.col and hhcolreg.dat
msdnxxx.col are the collection wich stores all your chm files.
msdnxxx.col is the collection registry, and stores details about your collection.
1. msdnxxx.col is located under;
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\HTML Help Collections\Developer Collections
U will find a language key for your prefered language, and search for a key kalled filename, (the path on disk were msdnxxx.col are located. )
2.hhcolreg.dat file is located under;
Documents and Settings\All Users\Application Data\Microsoft\HTML Help
I wont do the whole DRA( dont repeat yourself), so instead I did a little search...and found a nice article telling more about this...