The Help (F1) command opens the application's Help documentation (its user manual). By default, the Online Help in HTML format at the Altova website will be opened.
If you do not have Internet access or do not want, for some other reason, to access the Online Help, you can use the locally stored version of the user manual. The local version is a PDF file named XMLSpy.pdf that is stored in the application folder (in the Program Files folder).
If you want to change the default format to open (Online Help or local PDF), do this in the Help section of the Options dialog (menu command Tools | Options).