this must help :
Code:
ms-its:%systemroot%\Help\display.chm::/display_ct.htm
%systemroot% value is used by the installer.exe so that it can localise where is ur windows directory....

I used it here so that instead of the link looking for C:/window or D:/WINNT for example, it just go to the directory of windows and from there you specify the file you are pointing to. I'm not sure this link will work for you because i m using ITALIAN WINXP so maybe the file names are different... Anyway i know u can figure it out...
Edit: i just tested it, it doesn t work... this link i gave u only works if you paste it in the address bar...
Once you put it in <a href=""></a> it stops working ...
sorry that s all what i was able to invent...
But i think what u are asking for could be done with javascript...
Just a hint: why don t you save the help file and upload it to your intranet server, that way u can link to it..