In many parts of the world, including the part I live in, always-on-Internet is far from cheap and frequently completely unavailable. Since your application has nothing to do with the Internet, I and many others use it for whatever it’s designed to do while not online. When we decide to consult the documentation, it is therefore extremely frustrating to have your application launch our web browser and attempt to navigate to the location on your website that the documentation lives at. Your application requires no Internet access – why on earth should the help do so?
At the least, kindly inform the prospective user when they’re downloading your application that the documentation is only available online. Far better would be to offer them the option of downloading the help documents at the same time, while they are currently online, if you do not wish to bundle them with your application by default. Unless your help documents are hand crafted HTML, providing the documentation in a separate format should not be a problem.
Someone who doesn’t have a 24-hour online life but yet would still like to use and possibly purchase your application