I don't know that there is any mechanism such as doxygen built into mathematica. If you want to embed a documentation notebook into your package I would proceed as follows
- Write up the documentation notebook
- Embed the notebook as a character string in your package
- Write a help function that, when called, crates a file, writes out the notebook and uses front end manipulations to open it
You might be able to skip the creation of the external notebook by using Notebook[] instead of a character string for storing the documentation notebook inside your package file.
Integrating with Mathematica's own Help system is a bit more difficult (as the link you gave explains). Of course, you could still have the package write and move the appropriate files into place when the package loads.