Think I found the solution...
VS EE 2010 has another way of creating help files, hence the provided PdfSharp help files for VS 2008 do not comply to this new way of working.
However, there's a (free for personal use) tool called mshcMigrate (downloadable
here) which converts "old style" help files into "new style" help files.
When you let the mshcMigrate tool run over the PdfSharp help files, it will end up with a help index file called
helpcontentsetup.msha, which then can be added to the VS EE 2010 help system (the way I described it in my original post).
Be aware: in my case,
the conversion took 1 hour and 9 minutes!!! So, be patient...
Hope to helped others who are suffering from the same...