Do you have WindowsXp hotfix 896358 installed? Uninstall it if you have.
If there is a file named hh.dat in \Documents and Settings\%username%\Application Data\Microsoft\HTML Help, delete it. Note its a hidden directory.
Check the registry if it works.
#For Help and support:
In Registry Editor, goto HKEY_LOCAL_MACHINE\SOFTWARE\Microsoft\Windows\CurrentVersion\App Paths\HELPCTR.EXE
If the key isn't there, right click and create a new key HELPCTR.EXE
It should have a value of C:\WINDOWS\PCHealth\HelpCtr\Binaries\HelpCtr.exe
Restart your pc.
#For chm files:
Goto HKEY_CLASSES_ROOT\chm.file\shell\open\command
The Default value for this entry should be: "C:\WINDOWS\hh.exe" %1
Next, go to: HKEY_CLASSES_ROOT\.chm
The Default value for this entry should be: chm.file
if none of the entries exist then create a new one.
Following link will be of help to you:
*www.help-info.de/en/Help_Info_HTMLHelp/hh_command.htm