There is a 'msdn_word_help' command but the normal 'F1 -> help' binding is context sensitive and already handles that transparently.
For configuration use 'Help>Configure F1 MSDN Help'.
For other dexplore based help collections (in my case WDK help) I used this simple macro:
_command void wdk_help () name_info (',')
{
#define WDK_HELP_ARG " /helpcol ms-help://ms.WDK.v10.6000 /LaunchFKeywordTopic "
_str wdk_help = maybe_quote_filename ( get_env( "CommonProgramFiles" ) :+ "\\Microsoft Shared\\Help 8\\dexplore.exe" );
strappend ( wdk_help, WDK_HELP_ARG );
shell (wdk_help :+ maybe_quote_filename( cur_word() ),"AP");
}
Edit: Note that this collection can also be configured in SE. I used it as workaround to have VS2005 combined help and WDK help available in parallel.
For other simple chm based help files I'm using a (compiled) Autohotkey script. But this is rather a hack than a generic solution.
However - it's better than nothing

HS2