Do you mean a "classic" Windows help  file? Microsoft is encouraging developers
to switch to HTML-based help instead. I used to use Visual Help Pro to create
Help files. RoboHelp is probably the cream of the help compiler crop. I don't
know of any freeware.

Let me give you two alternatives for providing help in excel  applications.
John Walkenbach has a nice flexible userform for displaying help text. You can
read about it and even download a free  working copy at his website:

http://www.j-walk.com/ss/excel/tips/tip51.htm

I usually just put my help text on another sheet in the workbook. I have a
command button on the userform (or worksheet) that moves to the help sheet and
displays it full screen:

'Userform frmMain has a command button cmdHelp
Private Sub cmdHelp_Click()
Me.Hide 'or Unload Me
ActiveWorkbook.Sheets("Help 1").Activate
ActiveWindow.Zoom = 100
Application.DisplayFullScreen = True
Cells(1, 1).Select
End Sub

On the help sheet, I have a "Close Help" button at the top next to a heading.
Freezing panes beneath the heading keeps the button always in view. By turning
gridlines off and displaying full screen, I have a big, blank space in which to
put my help. The help
can include formatted text, WordArt, graphics, screen captures, audio clips,
etc. It's a lot easier to maintain than a separate Help file.

'Close Help command button on sheet "Help 1" sends user
'back to correct sheet and re-displays frmMain.
Private Sub cmdHelp1_Click()
On Error Resume Next
ActiveWorkbook.Sheets("Sheet1").Activate
Application.DisplayFullScreen = False
frmMain.Show
End Sub