EDIT: I was wrongish. After re-opening mIRC, the .hlp files would open UNTIL I used the menu to open a .chm, then the .hlp's won't open any more! Anyhow, I'm done on this topic.
that behavior years ago and indeed, the problem still exists :
1) You need one .hlp file in the same directory as mirc.exe
2) Run mirc, (consider the file name is "bug.hlp")
3) Both the help menu and the command "/winhelp bug.hlp" (including /winhelp's feature : /bug and /bug.hlp) works as expected : mirc ask windows to run that .hlp file correctly.
4) Type /help
5) Here you can't run a .hlp file anymore with the menu or with /winhelp until you reboot mirc.
I still really doubt that windows is the problem since I'm on win7 now, which can't run .hlp file by default (a program is needed), these steps clearly show a problem with mIRC.