The final step in adding Help to your application is making sure that it gets into the hands of the end user. The requirements for distributing Help with your application differ slightly for WinHelp versus HTML Help.
Since every Windows system already has the Windows Help Viewer installed, the only thing you need to distribute is the Help file (.hlp) itself. The Package and Deployment Wizard will automatically add a dependency for the Help file referenced by your application. If you're creating setup by another means, you'll need to make sure that the .hlp file is included and installed to the right location (usually in the same directory as the application or the \Windows\Help directory.)
HTML Help is a relatively new technology, hence you can't assume that every user will have the files needed to view HTML Help. The Package and Deployment Wizard will add a dependency for the HTML Help file (.chm) referenced by your application; but it may not add all dependencies for the HTML Help viewer files. You will need to modify your setup to include these files. Consult the documentation for your HTML Help authoring tool for more information on which files are required in a given situation.