Most of the products documentation are now online. this is very nice since it is centralized, and very easy to update, but on the other hand when working offline, you are stuck.
This is the case for IAG that you can find here:
One of my friend, Eli, gave me a link to a very nice tool, called "PackageThis". You can download it here : http://www.codeplex.com/packagethis
This tool will in fact download all the content you want, and generate a "CHM" file. Great tool !