Here is a sample .Rd file (the file that get made into R help file) offered by Amanda Blackford. To make your own under Windows, you just:
Edit the .Rd file to refer to your function or source code.
Open a command prompt in windows (Start --> Run --> type in 'cmd'). This opens a black screen (looks like old DOS prompts).
Change to the directory where your .Rd file is. For example, myfunction.Rd, under c:/Oncology Research, so
cd "c:\Oncology Research"
Then type
R CMD Rdconv -t=html -o=myfunction.html myfunction.Rd
You will change 'myfunction' to whatever you name your Rd file. When you're done, an HTML file should be created in that directory.