You can use files containing HTML or, the preferred method, Microsoft Assistance Markup Language (MAML) to create the topics typically referred to as "conceptual content". How you merge them into your help file will depend on the tool you are using (i.e.
Sandcastle Help File Builder or
DocProject). I'd recommend using one of those as they both provide an environment for writing the topics and will merge the content into the help file for you automatically. See their help files for more information on creating conceptual content. For more information on MAML itself, see the MAML Guide available from the
Sandcastle Styles project.
Eric