Your procedure worked like a champ except for one problem. Help Explorer Viewer only opened the first page of a 700 kb .hlp file. Did I do something wrong?
Help Explorer viewer will list only one page which means that you will have to print all the sections from the Help file to PDFs, then use a tool to merge all the PDF files into one single file. It might be a tedious process if there are many sections in the Help file, but at least it gets the job done.
You can get the job done with the help of PDFBinder: http://pdfbinder.software.informer.com/