MSDN Installation

In 2010, open the Help Menu.  Select "Manage Help Settings".  When the dialog appears, select, "Choose online or local help".  When the dialog updates, select, "I want to use local help".  You should also see a path to the help library displayed below the option.

There is an option there to Install content from online too on the main dialog.  If these settings are disabled, shut down Visual Studio and run it as administrator, otherwise you will not be able to do much with it.

You can always use the online help option without downloading the content.