Do you have Visual Studio .NET installed? The help is integrated into the help system and can be separately viewed using the dexplore.exe application installed with Visual Studio.
If you are running a 64-bit OS, then you need to update the Start Menu shortcut properties for the documentation. The paths start with %CommonProgramFiles%, but on a 64-bit system it needs to be %CommonProgramFiles(x86)%.
Glenn Chittenden Jr.
Atalasoft Development Team