Hello Joydeep,
to clarify - it is important to note that MS Help 2 is designed primarily for Visual Studio help integrators. It is not for creating general application help.
So, please use HTMLHelp 1.x (CHM) for application help at this stage. You may be interested in a Click Once for Visual Basic example form my site at:
http://www.help-info.de/en/Visual_Basic_2005/vb_2005.htm
There is a project download for VB2005 (you can transform to VB2008) with coding samples.
To go deeper into Help 2 and installing the compiler bits see:
http://www.helpware.net/mshelp2/h20.htm#MS_H2_Runtime
BTW - best place for first steps with Help 2 is Rob Chandler's site (see above too) at:
http://www.helpware.net/mshelp2/h20.htm
Please note MS Help 3 is the new help engine for Visual Studio 2010 (version 10) and beyond. It replaces MS Help 2.x, which is the help engine for VS 2002/2003/2005/2008 (VS version 7.0/7.1/8/9).
FYI- pleasetry posting to one newsgroup or forum only.
Ulrich Kulle - Microsoft MVP - Help - http://www.help-info.de