This answer will pretty much assume you're using some version of Microsoft Visual Studio, although the first approach is generic enough to work on any OS with a HTML rendering engine.
You could create a series of HTML files, store them locally on the user's computer, and when the user calls up help, load those in the default browser (this being the same kind of approach Microsoft took with Visual Studio 2010). However, I think that's kind of a hacky solution.
There used to be a product called HelpStudio Lite; unfortunately it's been discontinued.
If you're willing to use Microsoft Help 2.0 (which was used through Visual Studio 2008 and some other products), you might want to take a look at http://www.mshelpwiki.com/wiki/tiki-index.php?page=Help2. Evidently it's some kind of wiki detailing how to put together your own Help 2.0 documents. I'm not sure if it will work with Visual Studio 2010 (this is because VS 2010 uses a new help system).
I really wish Microsoft would get their act together on the help documentation front.
EDIT: You may want to look at Sandcastle Help File Builder. I found it recommended at https://stackoverflow.com/questions/6023/what-are-good-tools-for-creating-compiled-html-help-files-chm... actually you may want to go read that thread as well.