HTML Compiled Help (.chm) files are common in Windows: most applications deliver help in this format. As you can guess from the name, a .chm file is little more than a collection of HTML files and images, compressed into a single file. As you've found, .chm help documentation was not designed to be easily printed.
Since the .chm format is a Microsoft format, not a Bentley format, you would do better to ask your question on a web site that deals with .chm files.
Unsurprisingly, many people have asked the same question. I googled for print .chm file and received several hits: this is the first hit.
Regards, Jon Summers LA Solutions