In order to interpret the probe-level information in the .CEL file, the .CDF file for the type of GeneChip that was used is required. Similarly for the .CHP file: in order to interpret the gene-level information in the .CHP file, the .PSI file for the type of GeneChip that was used is required.
In order to import a .CHP file it is required that the corresponding .PSI file is present in the same folder as the .CHP file you want to import, and furthermore, this must be the only .PSI file that is present there. There are no requirements for the name of the .PSI file. Note that the .PSI file itself will not be imported - it is only used to guide the import of the .CHP file which contains the expression values.
Download example .CHP and .PSI files here (note that these are binary files):
http://www.clcbio.com/madata/AffymetrixCHPandPSI.zip