Thanks Breck,
I used Sysinternals Process Monitor to have a look and found that when I first try to open the help the corporate spyware virus scanner reads every file in the Documentation folder. Of all things, I have a similar delay opening ini files with Notepad. These are the only two things I've seen exhibit this behaviour 
Anyway, although we've established that the help does phone home it seems that's not the cause of my basic problem.
Thanks again, Paul