The basic idea is to have a Window pop-up when help is requested (F1 is pressed at a specific context). This window has a JToolbar and a JSpitPane. The left panel has a JTree used for navigating and the right is a JEditorPane which displays the help HTML pages.

You can run your own implementation, but the most convenient and standard way of setting up a Java help system is through the JavaHelp System. http://javahelp.java.net/.
"The JavaHelp system is an online help system that developers can use to add online help to their Java platform applications. The JavaHelp system is both a JCP specification (JSR 97) and a reference implementation of that specification. The JavaHelp system open source project includes the source to the reference implementation."
Check also the JavaHelp 2.0 System User's Guide.