When you purchase or download a commercial or open source .NET library, you expect it to feature an integrated help system. If you are considering the development of such a library, adding such an integrated help system shows that your product was created by a pro, and encourages other developers to continue working with your product.
In Visual Studio, help files are basically XHTML files that include specific meta tags which handle info consisting of the language the page was written in, where it fits in a table of contents, keywords and support for F keys.
A “book” of help pages is actually a compressed (zip) file that contains all the help pages along with an XHTML file that details the contents of the book. You will need admin access to install such a book, or you will need to include the compressed file and XHTML file into a signed CAB file.