Help 2.x is a help technology developed by Microsoft specifically for integrating with the Visual Studio help system (e.g. AddIn or Component help). It unsuitable for application help as the help viewer and support components are only installed with MSDN and Visual Studio and are not distributable to end user machines (this is a decision Microsoft made some time ago).
If you are creating help for a .NET application then you need to generate HTML Help 1.x output. There is a KB article (http://www.innovasys.com/support/kbarticle.aspx?key=2292) that describes how you can then hook up your help system to your .NET application.
If you are authoring help for integration with Visual Studio (e.g. component or addin help), then Help 2.x is suitable and there is a ‘Deployment’ topic in the online help that describes how you need to deploy and register Help 2.x .hxs files on other machines.