The MobileRead page suggests that the reader can handle CHM files (I guess because it runs on Windows CE 5.0).
Can you confirm this? You can get issues of MSDN Magazine in CHM format here: http://msdn.microsoft.com/en-us/magazine/cc159440.aspx
More about CHM file at: http://en.wikipedia.org/wiki/Microsoft_Compiled_HTML_Help
This would be a killer feature for me.