If you're using the 16-Bit Edition of PFE version 0.07.001, you'll find that the Options Preferences "User Help Files" panel does not function correctly.
Even though you may type a correct file name in for the help file, or browse for it, clicking on "OK" will replace the name with a garbage string which is then rejected.
This is a confirmed bug in PFE version 0.07.001. You can work around it by editing the initialisation file directly.
Using NotePad or some editor other than PFE, open the file PFE.INI in your Windows directory (or, if you've specified that PFE uses an ini file in some other location, open this file instead).
User help file data is held in a section labelled "[help-menu-items]". The general format of the section is this:
[help-menu-items]
1=Menu String 1,filename 1
2=Menu String 2,filename 2
...
5=Menu String 5,filename 5
You can define up to 5 user help items. The numbers you give before the "=" sign must be in the range 1 to 5, and in unbroken sequence starting at 1.
For example, this defines 2 user help menu items:
[help-menu-items]
1=RTL Help,D:\MSDEV\HELP\CRT20.HLP
2=Win API Help,E:\MSTOOLS\HELP\WIN32WH.HLP
The bug is corrected in 0.07.002 and subsequent releases, and you should upgrade to effect a cure.