For API Documentation, Sandcastle produces CHM files (help 1.0) but also HxS Files (Help 2.0). These are the ones which can be integrated into Visual Studio.
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I was talking just generally, not pointing fingers
figuerres: Maybe I was a bit harsh Just recently, heard one or two people at Uni saying its a great way to get cheap msdn subscription....but thats not its aim as your experience has shown. But I agree, great idea.
Express editions are up and can be downloaded now.
EDIT: Downloading and installed now, going to be at least a day to get Team Suite so might aswell get a head start and see what express is up to.