Hello @Vinay124 ,
The MWG can block files based on extension using the property URL.FileExtension. A rule that matches this to ".chm" could be configured to block URL requests where the URL filename has this extension.
You may also be able to use MediaType.EnsuredTypes or even the Content-Type header to try and match 'application/vnd.ms-htmlhelp', which is what .chm files are classified as according to IANA:
http://www.iana.org/assignments/media-types/application/vnd.ms-htmlhelp
(I cannot confirm right now if the MWG media type filter detects this MIME type yet, or not. It can, however, read the Content-Type headers and URL file extensions)