OK, this topic was not that important, but it was annoying me
I have VS2003 and VS2005 installed side-by-side. When opening VS2005 and hitting F1, I was getting only SQL Server 2005 help and nothing else with no filter options. As I stated last time, I did not install MSDN LIbrary locally (important...).
Out of curiosity, I opened the VS2003 help viewer, and although there were no help topics listed, I saw a reference to the "VS .NET Combined Help Collection Manager." Clicking on that led to a help page that had all available help modules listed, including LLBL! I checked LLBL and clicked the "Update VSCC" button, which added it to the VS 2003 help collection, but not to the VS2005 help collection.
I suspect that the root issue is my not having MSDN Library 2005 installed -- my guess is that the MSDN installation updates something/adds a new path/whatever that I'm missing, and that if I had already had it the LLBL install would have gone to the right place. I've seen references to VSCC being deprecated in favor of VSIPCC, which would explain why my update above only added it to 2003.
I don't have the MSDN library discs at the moment, but I'll try installing it later and see if that fixes the issue. I'll post an update here with what I find.