With the release of the Smart Device Framework v1.3 the compiled help documentation was no longer included in the installer. I've built a standalone installer to install the full collection of documentation into your Visual Studio help. This release includes:-
OpenNETCF Smart Device Framework v1.3
OpenNETCF Application Blocks v1.0
OpenNETCF Desktop Communication
Microsoft.WindowsCE.Forms
The full package is approximately 5mb but once installed makes it much quicker to search than using the online version. It installs with either Visual Studio 2003 or Visual Studio 2005 Beta, Download it here.