Instructions
Open the "ROMS" folder in the main folder for your emulator. This is usually found in the "Program Files" section of your hard drive.
Locate the game ROM for which you have the CHD files. Write down the exact title of the game.
Right-click in the "ROMS" folder and select "Create New Folder." Title the folder exactly the same as the game folder you are using. For example, if the game "Jurassic Park" has its ZIP folder labeled "jp1993" then create another folder entitled "jp1993."
Cut and paste your CHD files into the new folder you just created. Each game usually only has one CHD file, but some could have two to three files.
Open the MAME emulator you use. Select the ROM for which you created the new folder. Now the software will automatically associate the CHD file with the ROM file.