Hi Paul,
The help file is named ScrEdit.chm and is found in the screen editor program directory (where the program resides).
Try double clicking the help file from windows explorer. If it still doesn't show, then either the file is corrupted, or maybe you are using an older version of Windows. This is the first time I've heard of this problem.
Normally, the help file should show when you click the [Help] button (found above the [About] button) from inside the editor program. At least that's what is happening here.
If you still have problems, let me know and try to provide any additional details about your setup that you may think are relevant.