When you install Visual Studio, only a very small subset of the help is installed, typically the help for Visual Studio itself, the development environment.
Any extra help should be installed separately.
When you installed SQL Server, it merged its help files into Visual Studio, so you see it.
Help for the languages and the framework is on another DVD usually labelled MSDN. Installing MSDN, it will merge into Visual Studio help.
If you do not have that DVD, I would not be surprised if it was available as a download from the Microsof site.
You can got into Tools Options (in the help interface) and activate online help. Its a little slower than local help and I have found out that the index seems to be incomplete compared to local help, but it gives you most of what you usually find from the MSDN DVD.
Hope this helps.