After writing about the HelpViewer addin, it is about time to introduce the new help system. How does it work? The Help Library Agent is a locally running application, responding to a new protocol called "ms-xhelp". It is not really a protocol like "http" - you cannot use it in a browser directly (technically, you could, but there is a security warning). You have to access the agent to transform the ms-xhelp:// call into an http:// call if you want to use the output in your own controls.
How to get the new help system? And how to install it? Just install the Windows SDK 7.1 for example. After the install finishes, the Help Library Manager will show up automatically. If your local content folder is not initialized, it will ask for it:

After that, you can select different help catalogs from an online source

Select the catalogs you want to download, and hit the Update button. The download will commence and once done, the new help system is ready.
Note that sometimes this might not work and the manager application crashes with an exception. Please refer to the event log of your system. It is probably the background download service. One work-around is to login as the Administrator and to repeat the process. This would work but it is not recommended. The better way is to download the content with another tool called Visual Studio 2010 Help Downloader:

Select the catalogs again and start the download. If you are ready, start the manager application again and choose "Install content from disc". Go to the download folder and select the .MSHA file

You will now see the downloaded catalogs, and you can install them without any other problems.