To Compile help click on one of the toolbar buttons that are responsible for the specific format.
Helpinator can perform project check-up before compiling help file. Helpinator checks project for empty topics, missing library images and etc.
To enable check-up go to Tools->Options, select "General" tab and check "Check project before compile".
Compiled file (CHM, PDF or RTF) will be placed in the same directory where your project is. Browser-based HTML help will be in "HTML" subfolder of the folder where your project resides.
To put compiled files into different location select "Compile All". Also this dialog lets you to compile several formats at the same time and select variable preset for compilation.