Googling for win32.hlp will give you various links to get that file.
How do you install them? I place all the help files in
C:\Program files\CodeBlocks\Help files (it's just a matter of taste) and then go to
Settings->Environment, Help files. The interface should be simple enough.
You should have checked
Help->Plugins->Help plugin first. I added the description a few days ago and it should answer most of this post too