I had this same problem. See if PRB: HTML Help Does Not Work from VFP Application, MSKB #Q314296 helps.

>I've built an Installer to deploy an application I've developed. The system has a SET HELP TO .CHM, called from a menu. Testing it, it works fine. But when I build an Installer from InstallShield, and install the application to another computer, the help doesn't open, and the system doesn't return any Error Message: it just acts as if my Menu Command was empty. What is happening?
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>TIA,

Chris McCandless
Red Sky Software