Unfortunately you can't use the WhatsThisHelp button in this way. It works like this:-
Firstly, you need to create a help file for your application (not a trivial task).
Then you must assign this help file to your project (Tools, VBA Project properties, Help File Name).
When you create a help file each help page can have an ID assigned to it. You need to assign a HelpContextID to the form or control on your userform. This way, when a user clicks the Whatsthisbutton and then clicks on a control the help page associated with that particular control will be displayed. This can be demonstrated by clicking on a propery in the properties window (e.g. Caption) and pressing F1. The help for Caption in the VBA help file appears.
Regards,
Daniel.