The same rules apply as for native development:-
http://www.peterfoot.net/HelpInNETCFApplications.aspx
See the link in this article for a detailed look at the format used by
peghelp, it's HTML with a few extras (and a few quirks).

In .NETCF 1.0 there wasn't an event when the user taps Start > Help but you
could implement with SDF 1.0 and this code:-
http://www.peterfoot.net/StartHelpForNETCFAplications.aspx

In .NETCF 2.0 you can use the HelpRequested event on your form and use the
Help.ShowHelp (System.Windows.Forms) method to launch the peghelp viewer.

On Smartphone there is no peghelp engine. However you can write help content
as regular html and display it using Internet Explorer Mobile instead - use
Process.Start to launch.

Also we have a section in the deployment chapter of this upcoming book which
covers creating application help:-
http://www.microsoft.com/MSPress/books/10294.aspx

Peter