The only way your could get the entire help flie to print would be to create a single, higher-level "book" and put all the existing "books" in that one. While that would work for printing, (a) it would totally defeat the purpose of providing meaningful high-level information when the table of contents was initially opened, and (b) the output wouldn't look all that great. (Yes, you could develop a separate .CSS for printing, but you typically want some conent different in you print output than in your online output. for example, screen shots are useful in printed output, but waste screen space online. Links, meanwhile, are useful online but are not needed in print.)
If you're using Word as your source, then you're not getting very "clean" HTML for the chm file. if I had to guess, I'd say that you're probably using Microsoft's HTML Workshop to create the .chm file too, which is definitely not the most efficient.
I have to say that I've found what I've searched for only about half the time in the help file. The content iself isn't that well organized, nor is it consistendly presented and worded. If I had to guess, I'd guess that someone on the programming team was tasked with writing the documentation. (My second guess might be someone in marketing.)
I realize you're probably not the biggest budget company, flying under the radar of companies such as Musicmatch (who get their product preinstalled on many PCs), but having a professional on your team, experienced in designing and devloping documentation, is critical to overall product quality.