Good question. It's more a matter of taste than anything else, see screenshot below.
I find hlp more handy. Otoh, with chm you can search for words inside the found page. Judge yourself...
Both Win32 help versions are
Copyright © 1992 - 1996 Microsoft CorporationFor newer stuff, I use the VS Help Library Agent. That works, but it was a huge download and clumsy to install. I also made the mistake to install
VS community to get the newest assemblers and linkers etc - a giant pile of sh*t, slow like snail and full of bugs. Inter alia, it claims that
no help is installed (I do have around one GB from VS 2010 installed,
not including the crappy list of extras in the second screenshot below).
Ultimately, I use the VC++ 2010 Express help a bit more often, but still, the 20-year-old hlp file covers 99% of my needs.