From the MSDN Forums...

The VS 2005 SDK contains a new tool for authoring Help and integrating it with VS 2005. The tool is called HelpStudio Lite. It is lightweight version of the full HelpStudio product, developed by Innovasys.

HelpStudio Lite is recommended for anyone extending VS 2005 - for example, by creating add-ins, controls, or packages.  You will likely also want to author and include Help content with your extensions to VS. You can use HelpStudio Lite to author your content and compile it to the Help 2.5 (hxs) format, so it can be integrated with VS 2005.

The HelpStudio Lite documentation includes details on how to create deployment projects for your content (your hxs files). There are a couple options. One option is to use the Help Integration Wizard to create a VS setup project, which can be compiled into an Windows Installer package (msi or msm).  Another option is to incorporate the InnovaHxReg tool (included with HelpStudio Lite) into your setup.  You can invoke InnovaHxReg to register your content and merge it with existing VS 2005 content.

If you have existing Help 2.x files for VS 2003, you can upgrade them to work with VS 2005 by importing your collection into HelpStudio Lite and then compiling the HelpStudio Lite project.  Similarly, you can import HTMLHelp 1.x (chm) files into HelpStudio Lite projects.

Here are some related links for more information.
HelpStudio Lite Press Release
Visual Studio Extensibility Center
Download the VS 2005 SDK