When I click on the "Context-help" menu item a help file is open, but the following message is shown on the help contents "Navigation to the webpage was canceled".
I believe that has something to do with IE security settings opening CHM files. This thread - http://social.msdn.microsoft.com/Forums/en/devdocs/thread/ef2b95e0-4198-4e1a-b876-314a23348b5e seems to have some useful information about right clicking the CHM (Notepad++\plugins\doc\PythonScript\PythonScript.chm), and clicking properties, unblock. If you can't get it working, then just remove (or rename) the chm file, and the plugin will open web-based help instead.
Cool! that worked! :-)