Under Internet Explorer help menu, there is an option Online Support which has defaults to Microsoft's internet site. If you do not allow internet access from within the corporation or want the link to go to a site of your choice, you can set the Online Support to any URL using following registy hack:

Hive: HKEY_LOCAL_MACHINE
Key: SOFTWARE\Microsoft\Internet Explorer\Help_Menu_Urls
Name: Online_Support
Type: REG_SZ
Value: "http://supportsiteofyourchoice.org"

This tip applies to all versions of Internet Explorer. A very similar setting involves the default Internet Explorer search page which you access via the the "Search" toolbar button. To change the default search site:

Hive: HKEY_LOCAL_MACHINE
Key: SOFTWARE\Microsoft\Internet Explorer\Main
Name: Search Bar
Type: REG_SZ
Value: "http://searchsiteofyourchoice.org"