This is a known problem with Vista, which does not ship with the old winhelp32 application (used to display 32 bit help files). It is possible to download and install an official HELP file reader for Vista:
However, by default most macros have been disabled on Vista. The article in the link describe under the heading “Group policies and registry” how to re-enable the disabled macros. Before this is done it will not be possible to search or use the index.
Use of this program is not supported by MatchWare – all support on the winhelp32 viewer is placed at Microsoft.