This is an issue that affects any HTMLHelp file. It is to do
with the way the topics are printed. They are all copied to a
temporary html page, which is stored in a particular location.
This means that some scripts (or calls in scripts) don't find
the files they required in a correct location. This can also affect
the .css (the layout) of the topic.
For those reading who are not sure if they have this problem,
just try printing mutlitple topics from your HTMLHelps, as
jfullington has described above.
I have this post that outlines the problem and suggests some
solutions:
http://techwritetips.wordpress.com/2006/06/28/htmlhelp-multiple-page-printing/
Hope that helps.