HelpExplorer is a full-featured help viewer for both Windows and Linux. One of its main advantages is 100% support of the WinHelp (.hlp), MS HTML Help 1.x (.chm) and MS Help 2.0 (.HxS) help file formats that are widely used in Windows, which lets you use the same online help files for cross-platform applications running under Linux and Windows. Another great advantage of Help Explorer Viewer is its easy integration into your applications.
There is a little problem, though. The program is officially shareware, but you can't really pay for it since the company seems to have vanished from the face of the earth and all links are dead. However, it does the job and works with all Windows versions, it doesn't expire, there's no nag screen and it can be made portable. I'm quite happy with it.
HelpExplorer also allows you to highlight (and copy) text and images: