The InfoPath team shows you how to integrate the .Net Framework help into the VSTA IDE for InfoPath. Make sure you follow the note about starting InfoPath as an administrator if you are using Windows Vista with UAC turned on (which you should be doing and is the default behavior)
Read more here on the InfoPath team blog.
How to Integrate the .NET Framework SDK Documentation with VSTA
This blog post greatly expands upon the MSDN online help.