When I open Help → Manual in web browser I get “You do not appear to have help installed on this computer”.
I’m on Mac Core 2 duo with Lion and installed via .dmg.
Audacity (and the help directory) is not installed in the Applications directory, but the Applications directory has a soft-link to the Audacity directory.
They’re in /Users//Not OSX native/Applications - OSX alien/Audacity/help/manual
(Basically, I keep all the non-native OSX applications in another directory as it helps me keep track of what external apps I have to restore should I build a new machine, or whatever.)
All you need to do is copy the “Audacity” folder from the mounted .dmg into “/Users//Not OSX native/Applications - OSX alien” and not change the contents of the Audacity folder. It should not matter where the “Audacity” folder itself is as long as you copied it from the mounted .dmg.
The “Audacity” folder has a “help” folder and a “manual” folder insider that. The “index.html” page inside that “manual” folder is what Audacity looks for when you press “Help > Manual (in web browser)”.
If Audacity cannot open “index.html” (path as above) and if you double-click on that index.html page in Finder and it doesn’t open, then probably your file permissions are messed up.