All right...
Firstly, if you're having that problem with VOpenCHR then get the version labelled "with DLLs". If you install that version, you should be good to go.
As for CHRMAK5, your problem is that it is a command-line program. You need to run it from the MS-DOS prompt. Specifically, you make yourself a .mak file, and type
chrmak5 character.mak
replacing "character.mak" with the name of your .mak file, obviously. Alternatively, you might be able to just drag your .mak file onto chrmak5.exe in your My Computer window or Windows Explorer. To see how to put together a .mak file, check out the included sample.
If that sounds like too much work (it really is pretty complicated) you're probably best sticking with VOpenCHR for now. :)