Here's a neat trick to fix the "Help is not installed in Visual Studio .Net" problem. Change the value of the registry key:
HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\VisualStudio\7.1\Help\0x0409\{some
guid}\VS_Docs
from 'Not Supported' to '7.1'. Black magic, but it works (at least for VS.NET 2003).