Vista doesn’t allow to open the help files in old .hlp format. Only .chm file supported. The viewer for .hlp (winhlp32.exe) is not deployed by default in Vista at all.
But if you need, you may download at http://support.microsoft.com/kb/917607 and install additionally.
For Windows 7 64 bits the direct link is http://download.microsoft.com/download/9/A/8/9A8FCFAA-78A0-49F5-8C8E-4EAE185F515C/Windows6.1-KB917607-x64.msu