Documentation cab be created using Wolfram Workbench. See the Worbench documentation on how to do it: http://reference.wolfram.com/workbench/ It's under Mathematica Development User Guide -> Tasks -> Documentation.

Workbench 2 may not be fully compatible with recent versions of Mathematica (I'm not sure), so you may need to request a beta from Wolfram Support ...

I haven't used these tools in a while so I'm not sure.

Can we do it without the Workbench? In principle, yes.

I found two packages on http://packagedata.net/ that claim to do it. ApplicationMaker used to work, but I think it's a bit outdated now and may require fixes. There's a new 'userhelp' package which was posted a few days ago. I never tried it.

Kirill,

I have an essay at my web site called A Mathematica Style that among other things gives an overview of using Workbench to create documentation. Documentation would usually be part of a larger entity called a Mathematica Application, which might include various combinations of notebooks, packages, style sheets. palettes and documentation. The essay discusses how to lay this all out. Mathematica Applications are quite a standard part of Mathematica and the Wolfram Language and a good way to organize work.

Workbench comes with Premier service but there may be other ways to obtain it. You would have to contact Support.

Recent versions of Mathematica, V10+, require Workbench 3. This is not even in formal beta testing, but it usually can be obtained by contacting Wolfram. I use it constantly for documentation and it works perfectly well. I don't know what Wolfram's long term plans are for documentation. I just cross my fingers and hope that whatever it is, it will maintain compatibility with present paclet documentation.