You can add other files and folders using the P&D Wizard....
From memory, early in the wizard it shows a list of all the included files. Use the add button to add all your help files (or any files for that matter).
At a latter stage it asks you to confirm the install path for each file. At this stage you can edit the install location and add a subfolder. e.g. to create a folder called \help within the application folder you enter someting like $(AppPath)\help.
HTH
Sam