and for a free (for personal use) program that does quite a satisfactory
job, you might want to look at HelpNDoc from IBE software at http://www.ibe-software.com/products/software/helpndoc/
I use it with my FontOrg program and it works nicely.
Check out Microsoft HTML Help Workshop which comes with VS and can be
downloaded from the Microsoft website. You can use the HelpProvider
component to integrate help into your application.