As far as i can tell this is by design of the help engine. It says that with WinHelp you can get the popups (which I think have to be specially formatted in the help file) and that you get a full topic in HTML help.
I think some applications that use HTML Help just override this behavior and 'fake' the yellow box popup...
+++ Rick ---
>Yep. As long as the HelpContextID property for the form or object has a matching ID in the CHM file, it should work by default. I have not been able to get this to work either. I use this same tool as well. Here is a link to the documentation. Make sure you also look at the links in the SEE ALSO sction at the bottom of that page.
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http://msdn.microsoft.com/library/default.asp?url=/library/en-us/fox7help/html/dgtskprogramminghelpfeatures.asp