F1 and the help button work, you just need to set up your environment's $BROWSER variable correctly, or set the desired browser from the list in Gambas setup.
I posted about an environment problem on the gambas mailing list, I'll paste part of it here in case it applies to your case:
The Help menu wasn't working in 1.9.43 running on XFCE 4.4 RC1. It would work if Gambas was called from the console, but not from the XFCE menu. I figured that the run environment from the menu wasn't setting the $BROWSER from my $HOME/.bashrc for some reason, the fix was to create a file (I called it env.sh) in /etc/profile.d (has to be set executable) to set $BROWSER.