Here's the solution to my problem.

Cause: the setup wizard does not include the file FoxHHelp.EXE when you check HTML Help.

Solution: Place the file in your distribution directory. You can place it in any directory you want but I use \Windows\System. Once installed you will need to register it. You can do this through the Start Menu Run option or from a post-install batch file or program.

There will soon be a KB article about this and it has been reported to the VFP Dev team.

Thanks to Gail & David at MS Tech Support for their assistance.