Jeff, just to add to Mark's post:
internal code adds "\en\index.html#" to the end of your local help path. "en" part comes from install locale. Make sure to add such subfolder, otherwise, it won't work at all .So, in your case, actual help files would be in "C:\Program Files\Explorer\LocalHelpFiles\en\", and location into Application Configuration Properties "file:///C:/Program Files/Explorer/LocalHelpFiles".