What kind of help exactly? There are 3 kinds of context help you can get
for your control:
1.  Whole help topic is shown when you press F1.

You need to add XML comments into your source code and generate Help2 or
CHM help from them.

2. Quick summary is shown in IntelliSense and Object Browser.

You need to add XML comments into your source code and then generate XML
doc file and place it in the same folder as your DLL.

3. Short property description is shown in Properties Window.

Use Description attribute:
<System.ComponentModel.Description("Indicates button state.")> _
   Public Property pushed() As Boolean

For the first two you need specialized tool, e.g. our VBdocman .NET or
NDoc. See
http://tinyurl.com/jh2xk
and
http://dotnet.mvps.org/dotnet/faqs/?id=tooltipsxmldocumentation&lang=en

Your help must be in MS Help2 (.HxS) or HTML Help 1.x (.CHM) format. See
http://helpware.net/mshelp2/demo/DynamicHelp.htm for the former one.

In general, you need to include XML Data Islands (especially F keywords)
into your topic HTML files.

If you are using CHM instead of Help2, you need to include those islands
in special XML file and place it in VS .NET folder (usually in
C:\Program Files\Microsoft Visual Studio
.NET\common7\ide\html\XMLLinks\1033).

The detailed article is in VSHIK white paper Dynamic_Help.doc. You can
usually find it in C:\Program Files\VSHIK\Whitepapers\. Of course, you
need to have VSHIK installed.

You can also observe syntax of F-keywords by opening help for any class
in VS .NET and view its source code.

Or our tool VBdocman .NET (http://www.vbdocman.com/net/) does it all for
you.