I dont think you need to setup some thing to enable the help files.
this may help you (The below content was given in Microsoft Help)
Help might not load correctly if the Microsoft Internet Explorer file cache is full, or if you are trying to run Help over a network.
Clear the Internet Explorer file cache
If your Internet Explorer file cache is full, Help might not function or be displayed correctly. Symptoms of this problem include the following:
Sections of a topic do not expand or collapse correctly.
Art is not displayed correctly.
Fonts are not displayed correctly.
Icons are not displayed correctly.
Clear the cache
In Internet Explorer, on the Tools menu, click Internet Options.
On the General tab, in the Browsing history section, click Delete.
In the Delete Browsing History dialog box, in the Temporary Internet Files section, click Delete files.
Click Close to close the Delete Browsing History dialog box, and then click OK to close the Internet Options dialog box.
Help might not run over a network
If you are running a Help file from a network location, the topics in the Help files might not be displayed correctly. You may have to modify security settings that prevent Help from loading over a network. For more information, see the Knowledge Base article located at http://support.microsoft.com/kb/896358.