That sounds like you don't have the Visual Basic Help files installed. A "normal" installation of Excel doesn't install this. You have to install them using "advanced customization" of the application. If you're installing Excel as part of office this checkbox is present right below where you select which product(s) to install. Then, in the "Advanced customization" window expand "Office Shared Features". Then make sure that the item "Visual Basic for Applications" and its child entry "VIsual Basic Help" are both selected to be "Run from My Computer".
As noted, though, this information can also be found on the web from
MSDN.