The help in cs2 isn't based on adobe severs as newer ones are. The help files themselves are on your computer.
Did you install the updated Adobe Help Center 2.1 that JJMack linked to and click on Run As Administrator when you install it?
http://www.adobe.com/support/downloads/detail.jsp?ftpID=3171
There is also an updated help package available for photoshop cs2 that you might try as well
The zip file you download goes into C:\Program Files (x86)\Adobe\Adobe Help Center\AdobeHelpData\Packages (64 bit windows 7)
or C:\Program Files\Adobe\Adobe Help Center\AdobeHelpData\Packages (32 bit windows 7)
(don't unzip the file you download)