I've discovered my problem. The problem is that you need to specify that your application will use HTML Help files when you're preparing the distribution files. This will cause it to include the following :

itss.dll
itircl.dll
foxhhelp.exe
hhctrl.ocx
hhw.exe

And what's the most important is that FOXHHELP.EXE must be registered - you can do this manually : FOXHHELP /regserver

Thanks !