Autodesk Exchange is the online help content that is turned on by default and is new in 2012. You can turn it off and use the local help content using the instructions below:
1. Open AutoCAD 2012.
2. Close Autodesk Exchange window.
3. Go to Application menu A > Options to open Options window.
4. In the Options window, click on System tab.
5. Under Autodesk Exchange clear the check box – Access online content (including Help).
6. Restart AutoCAD 2012.
7. Hit F1 key and AutoCAD 2012 local help files should open.
The Registry entries related to online help is under:
Value Name: HelpBaseURL
Value Data: http://exchange.autodesk.com
Thanks to Avto Chachava for this tip.