There is quite a bit to the help functions. The free editor I suggested has some "help" what you need to put the help file into your projects. It also will generate a .txt file of the constants to paste into your VB code after you are finished writing the help.
Check MSDN for the "HelpFile" property, and the Common Dialog Control, and associated other commands. That should get you on the right track.
Basically, you have to have a Common Dialog Control on your form. Once you have this, you can use the Helpcommand property to set what kind of help, then use the ShowHelp Method:
CommonDialog1.HelpFile = "HelpFile.hlp" 'Name of your hlp file here
CommonDialog1.HelpCommand = cdlHelpContents
CommonDialog1.ShowHelp
Would open the Contents page in your help editor.
HTH
Robert