Here are 2 tips on accessing help from Visual Studio 2005 Express Editions:

1. Visual Studio 2005 Express Edition does not install a link to the MSDN Express. Although it is possible to access MSDN Express from Visual Studio 2005 Express, MSDN Express will close when we close the Visual Studio 2005 Express. To access MSDN Express directly, just run "C:\Program Files\Common Files\Microsoft Shared\Help 8\dexplore.exe". I placed a short-cut on my desktop so I can access the MSDN Express anytime.
2. If you install packages from Microsoft Patterns and Practices (such as CAB or Enterprise Library) on machines only with Visual Studio 2005 Express Editions installed, it is likely that the link to help would fail. This is because the links point point to the help under path ms-help://MS.VSCC.v80/. However, if you only have the Express Editions installed, you would not have the path. Instead, you have ms-help://MS.VSExpressCC.v80/. So If you make the beginning of the path from  ms-help://MS.VSCC.v80/ to ms-help://MS.VSExpressCC.v80/ in your short cut, the link will work correctly.