The Microsoft HTML Help 1.x compiler has known problems with the long filenames generated by .NET documentation. This problem can often (but not always) be worked around by compiling to a root path (e.g. c:\docs). Unfortunately the MS HTML Help Compiler is not actively supported by Microsoft so it’s unlikely that this problem will be fixed.
You can also avoid this problem if you compile your documentation with Help 2.0 (the VS.NET help format). You can find a link to download the Help 2.0 compiler (part of the Visual Studio Help Integration Kit) at:
http://www.innovasys.com/support/help2workshop.asp
If you absolutely need to create CHM format .NET documentation, you can use the 'Generate shortened alias filenames' option on the 'Microsoft .NET Options' page in the Document! X project editor in order to have Document! X shorten the generated filenames. This option does extend the documentation build time though.