This is somewhat old news but in case you haven't heard about it, we released a documentation hotfix for Dynamics AX in Feb 2007. It contains over 1000 new help topics and updates the CHM files in your installation. The hotfix includes updates to all three categories of documentation: user docs, administrator docs and developer docs.
Go here to download it. Note: you'll need a login to either CustomerSource or PartnerSource in order to access the download.