Jane,
From the menu, Go to Tools -> Options ... -> File Locations (tab) -> File Type - Help File. On my system I have "c:\program files\microsoft visual studio\msdn\2001jan\1033\foxhelp.chm". The "YYYYMon" may be different on your system, depending on the version of the MSDN library CD you use to install the help. Note: Others may have a .COL file instead of the foxhelp.chm file. Make sure you click on "Set As Default" after you set it, or it won't be saved.
Rick