Robyn,
Assuming your windows-folder is c:\windows, the message says that the file c:\windows\help\windows.chm doesn't exist. That's easy to check, isn't it. If the message is right, you're the only one who can tell what you did with this file.
Use start>run>sfc to check for missing files. It will extract them from your Windows 98 cd, and then this message won't appear any more.
Hope this helps.
Kees
Hi. I just tried o access my Help files from the start button and it came up with this message, Cannot open the file:%systemroot%\help\windows.chm. What happened? I am runninf Windows 98SE.

Chowhound
Comic Vine
GameFAQs
GameSpot
Giant Bomb
TechRepublic