Under Windows Vista, Pegasus Mail's help does not work in Pegasus Mail 4.41 (or older).
The reason why Pegasus Mail's help does not work is that Windows Vista does not include the established help system anymore.
WinHelp was a reliable and time-tested help system for previous Windows versions; however, WinHelp is not supported by Windows Vista anymore, so any help based on the WinHelp system cannot be used under Windows Vista. Since Pegasus Mail's help was built on WinHelp, the help in Pegasus Mail 4.41 (and older) cannot be used under Windows Vista.
HTMLHelp, another help system for Windows, is restricted when used under Windows Vista. These restrictions would make HTMLHelp nearly useless if it was used for a help system in Pegasus Mail.
If you want to have access to Pegasus Mail's help, you have to download the "WinHelp viewer for Vista", also know as the "Windows Help program (WinHlp32.exe) for Windows Vista". You can download it from Microsoft here. (As Microsoft prohibits any distribution of the WinHelp viewer other than through their own web site, you have to download their WinHelp viewer from their pages yourself.)
As soon as the WinHelp viewer for Vista is installed, you should be able to use Pegasus Mail's help under Windows Vista.
Note that this affects Pegasus Mail version 4.41 (and older) under Windows Vista. At the time of writing, David Harris is working on a new version of Pegasus Mail. That version will fix the help problem by introducing a help system of its own (i.e. a help system that does not depend on the help system offered by Windows and Microsoft).