I get asked this question a lot. You download the latest and greatest version of the guide, open it, and you can't access any of the help items!
This is because the .chm file (the installation guide help file) is "blocked" for security reasons. To resolve this, simply right-click on the file and select Properties. You'll notice that there is an "Unblock" button at the bottom.
Click that button, and click Ok to close the Properties dialog. Lastly, re-open the installation guide and you should be set!
To download the TFS installation guide, go here: http://go.microsoft.com/fwlink/?linkid=40042
The TFS install guide is quite comprehensive. It covers walkthroughs & checklists for both single- and dual-server deployments, system requirements, security, and install guides for the Build Server, Proxy, and Team Explorer.