You have to create a help file, then link it to the project using the PROJECT / PROPERTIES window.
Then you have to set the HelpContextID for each control on the form to be the HelpContextID of the appropriate help page in the help file.
Then you set the WhatsThisHelp=True, WhatsThisButton=True and when the user clicks on the What's This button, and then the control, the HelpContextID is used to display the correct page in the help file.

It's long winded, and crap (in my opinion)

It also (as far as I know) only supports the old style .HLP files, not the new-style compiled .CHM help files.