Applications with context-sensitive help lose this functionality when rebuilt with Turbo Delphi. The solution is to (1) specify the help file in Projects - Options (shift-ctrl-F11) and (2) add WinHelpViewer.pas to the project.
This is a known problem in BDS2006 but, as far as I know, Code Gear has not offered any fixes. From my research, people offering a solution misunderstand the complaint to be context-sensitive help being broken in the BDS2006 IDE itself as opposed to applications built with BDS2006.