How can I make help file?

How can I make help file (*.hlp ) and (*.chm),
and how to connect application to the files?

.hlp files are compiled with help workshop, which is included with VB6.
.chm files are compiled with the newer HTML help workshop, which you
can download from MS. There are other threads here which explain parts
of the process of connecting and using the help files, but you really need
to find a good tutorial to get started. There should be some links in the
FAQ thread at the top of this (installation / documentation) forum.