There is built-in support for CHM files in .NET. The cheapest way to create these is with the freely available HTMLHelp Workshop, although there are commercial products out there that do a much better job such as Flare or RoboHelp.
Once you have a CHM, you can use the System.Windows.Forms.Help
static methods to show the help when and where you want.
You do not need the Visual Studio SDK to provide this feature. HelpStudio Lite is predominantly included for the provision of MSDN-style help that can be integrated with Visual Studio help collections for deploying new frameworks or SDKs.