For a Windows Help project, send your client the *.HLP and the *.CNT files from your generation directory. For an HTML Help project, send the *.CHM file. That's all you have to do.
To open your online Help system, your client will need the WinHelp run time files or HTML Help run time files, which are automatically installed with Windows or Internet Explorer, depending on which version of those programs the client uses. Most people have these files on their computers.