Microsoft HTML Help - CHMs - are limited by the Microsoft Help Compiler (last updated by Microsoft in 2004). Because of a potential security risk, Microsoft patched Windows in 2005 to prevent CHMs being run from a network location. There are solutions to this but essentially the answer is that CHMs are now really intended for Desktop installation only.
The appearance of Microsoft HTML Help is limited by the Microsoft compiler. However you can now create WebHelp using a skin and then convert it to a CHM to get a more modern appearance. See Bits and Pieces.