It was awesome. You could hit F1 and it would instantly pop up good, detailed, documentation for whatever method or keyword was under your cursor. In any of their developer products, so it worked as well in SQL Server Management Studio as in VS.NET. Every language, every technology, updated monthly via Automatic Updates on your dev box.
But they stopped shipping it in favor of "web help". That's the thing where you hit F1 and it spends several seconds opening a web browser (a custom one in a new tab in the IDE for some reason), then several more seconds opening a "meet the mouse" style page telling you how to use the code editor window (which it had helpfully detected was your context when asking for help).
So in one stroke, they switched from the worlds most awesome help system at your fingertips to "just go open Chrome and type your search into Google, since that will at least get you something relevant".
Today, they've improved that workflow by trying to ensure that something relevant exists on MDN, provided you're searching for web-related stuff.
We're still about 10 years back from the state-of-the-art in 2003.
Shame.