The MSDN2 library documentation repeats at least some of the help text documentation that comes with the VS2005 Express IDE download.
Some investigation produced some interesting results:
1) when the Document Explore (that;'s the help system) was asked to search online for something that existsi in local help, it found nothing. So it doesn't appear to be looking through the MSDN2 Library.
2) the help system will only use MS Internet Explorer; there is no apparent way to tell it to use another web browser.