Windows help (*hlp) files are obsolete and unsupported by M$. However, you can get a copy of the free M$ help compiler here:
You need to write your help files as RTF documents using MS Word, and use the help compiler to turn them into a help file.
M$ now supports a HTML Help Compiler, and you can get a free copy from the link above. Personally, I never liked this. Why compile HTML into something else?
I would just write your help as HTML pages, and when the user clicks help in your application, launch the default browser with the relevant help file. Something like:
ShellExecute(Handle, "open", "helpfilename.htm", NULL, NULL, SW_MAXIMIZE);