If you first choose online help then go into Help -> Manage Help Settings, then choose Install Content from online you may get an exception message.  This may be due to your intranet or desktop requiring a proxy configuration.  The application being launched is the HelpLibManager.   You can change the config file to enable and fix the issue by adding the highlighted <system.net> settings in the file located at C:\Program Files\Microsoft Help Viewer\v1.0\HelpLibManager.exe.config for 32 bit installations.

Here is a snippet with highlighted added:

<?xml version="1.0" encoding="utf-8"?>
<configuration>
 <startup>
    <supportedRuntime version="4.0" />
  </startup>
  <appSettings>
    <add key="FirstTimeRun" value="False" />
    (more settings and file items - left out for clarity)
  </appSettings>
    <system.net>
          <defaultProxy enabled="true">
                   <proxy usesystemdefault="True"/>
          </defaultProxy>
    </system.net>
</configuration>

Hope this helps!