Private Sub textBox_HelpRequested( _
    ByVal sender As Object, _
    ByVal hlpevent _
      As System.Windows.Forms.HelpEventArgs) _
    Handles MyBase.HelpRequested
    ' This event is raised 
    ' when the F1 key is pressed or the
    ' Help cursor is clicked 
    ' on any of the component fields.
    Dim Parent As System.Windows.Forms.Control
    Parent = sender
    Windows.Forms.Help.ShowHelp( _
      Parent, "http://visualbasic.about.com")
End Sub

The last statement could also reference a local URL like this:

Windows.Forms.Help.ShowHelp( _
        Parent, "c:\vbnet03sbs\chap14\readme.txt")

In this case, the readme.txt file will be displayed by whatever program is registered to process txt files on the local computer - probably NotePad. The readme.txt file could also be converted to a web page and displayed in a web browser.

And don't forget that VB.NET structured error handling also has the ability to display Help. Here's a code snippet showing how to use that for an Overflow error.

Dim Msg As String
Err.Clear
' Suppress errors for demonstration purposes
On Error Resume Next   
Err.Raise(6)   ' Generate "Overflow" error.
Msg = "Press F1 or HELP to see " & Err.HelpFile & _
" topic for this error"
MsgBox (Msg, , "Error: ")