I had the same problem. Try looking at Microsoft Knowledge Base Article - Q314296.

>I have an application that I need to launch HTML help from. I have compiled a *.CHM file. What I want to do is to be able to launch the help file and display a particular topic. I am using VFP7 and Codemine framework.
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>I have tried
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>SET HELP ON
>SET HELP TO '\mypath\myhelp.chm'
>SET TOPIC TO 'MY TOPIC'
>HELP
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>This works great in Developer mode and on my development machine. But when I distribute the application, it doesn't. I don't get an error or anything. Nothing happens at all. I checked my paths and my .CHM. I ran the .CHM file directly by clicking on it, works fine.
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>Is there something missing that my stand-alone machine needs? Doesn't seem like it, since it fires off manually.
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>Or perhaps there is a better way to launch a topic of help. I have tinkered with hh.exe & shellexecute with no luck.
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>Thanks, steve