Running VS2008 Pro on Windows 7, all SP and hotfixes installed.
When I click F1 on a (valid) keyword in VS2008, I only receive the "Information Not Found" page. I know I didn't install the full msdn as I just wanted to use online help. I can't recall if I clicked or unclicked anything during the install process (installed a couple of months ago so I don't fully remember) that related to help but I did try to pare down the install size by unclicking things I know I wouldn't ever use.
devenv.exe and dexplore.exe are both set to run as admin. Tools-Options-Help-Online is set to use online first, then local. All options are checked. Equally odd, the Codezone provider download button gives me a dialog indicating it couldn't download resources.
My router is Smoothwall with the transparent proxy enabled.. meaning, I don't have to enter anything in a web browser for a proxy - I just surf.