If you want to have option to change subset easy, just set it to "Visual FoxPro Documentation". Next time when you start help, it will be selected automatically.

If you do not need entire MSDN, go to Tools|Options and on File Locations tab change Help File location to something like "c:\program files\microsoft visual studio\msdn98\98vsa\1033\foxhelp.chm" (path depends on location where you install MSDN; the VFP help is in foxhelp.chm, so browse to it).