In Windows NT, the CMD help is NTCmds.hlp. In Windows 2000, it is NTcmds.chm, which can't be opened directly.
While you can save the help page in Help Favorites, I prefer to set up a shortcut to a batch file, or use Start / Run. Create NTcmds.bat containing:
start hh.exe ms-its:%WINDIR%\Help\windows.chm::/ntcmds.htm
Create a shortcut to NTcmds.bat and set it to run Minimized.
If you wanted to view a particular help topic, you could use the syntax from the following examples: