Somehow I couldn't install the Composite Application Block from Microsoft, so I compiled it from source. While this solved the first part, it didn't provide me with the helpfile. The helpfile is an HXS file which you need to register with the document explorer and I didn't.
Google proved to be useful here, I found Helpexplorer 3.0, appearantly this is a tool that can read HXS files and is cross-platform too. I don't care about the last feature, but it sure comes in handy for those cases where you have an HXS file but didn't register it with Visual Studio. You can download this nifty tool here: http://www.help-explorer.com/hx.php