I have not tried the ObjectARX 2012 Help Integration install, but I do know that the ObjectARX 2013 Help Integration install does work with Visual Studio 2010 Express.
You might want to verify that you are using offline Help:
1. Launch Visual C++ 2010 Express or Visual Basic 2010 Express.
2. From the menu bar, click Help > Manage Help Settings.
3. In the Help Library Manager dialog box, click Choose Online or Local Help.
4. Click I Want to Use Local Help and click OK.
5. Click Exit.
6. Press F1 and click the Contents tab.
That should show the ObjectARX and other offline Help topics.