Hi Robert Hames,
I see you have downloaded Q3 but not SP1. We had problem with the installation of documentation in Q3 due to a wrong link in the StartMenu. You have two possible solutions:
1. Download and install SP1 from 12/08 where this issue is fixed.
2. You can go to Start menu ->right click on the documentation shortcut->Properties-> add ".silverlight" at the end of the shortcut Target string. That should fix it . In fact only the path of the shortcut is wrong you can also start the help from ViewHelp.bat in your Documentation folder.
I advise you to just download SP1 as it has some fixes as well. Sorry for the caused inconvenience if you need more help, please let me know.
the Telerik team