The toc.chm file contains only one file (toc.chm). I decompiled the CHM file, made a copy of that file as index.html. I then recompiled the file and voila! When I click on "Online Help" the list of available documents is displayed with correct hyperlinks.
This must just be a work-around coz on the status bar it still says:
ms-its:toc.chm::/docs/index.html not found!
Please see the two attached images to see what I mean...but at least it does not fail in error, and offers links to get one started.
Attached, also find my modified toc.chm file.
@marcov: In my setup (Laz 0.9.28.2, lhelp 2009.06.08), lhelp does not autoload the chm files.