.HLP files are displayed by a 16bit program called WINHELP.EXE Thinstall does not support 16bit EXEs, and cannot make virtual .HLP files visible to WINHELP.EXE
In order to display Help files, you need to convert your .HLP to .CHM (Compiled HTML).
In your program, CHM help files can be displayed using the HTML Help API function: HtmlHelp(NULL, "myhelp.chm", HH_DISPLAY_TOPIC, 0);
For more information about HTML Help, visit this link: http://msdn.microsoft.com/library/default.asp?url=/library/en-us/htmlhelp/html/vsconCmdhhdisplaytopic.asp
For information on how to convert HLP files to CHM using the HTML Help Workshop: http://support.microsoft.com/default.aspx?scid=KB;EN-US;Q241209&