Walkthrough: Registering and Integrating a Help Collection By Using Windows Installer
MSDN is a great resource; alas, finding relevant information on it is very difficult for two reasons. Firstly, no search engine does a good job of indexing the files. Secondly (and primarily), the page authors give the pages the most obscure possible titles. Take for instance the page I just linked to: why can't the summary be "Steps to Integrate HXS into MSI"? Since the page author hasn't done this, I have. It's all in the hands of the Google web spiders now - once they pick up this page and index it, others like me looking for this information won't have to search as much.
To use my close friend Juggy's favorite quote - "Power to the People!"