Turns out that it requires "HTML Help 2 Compiler" or "VSHIK".
Having used the previous version of NDoc, I first turned to my VS2005 install CD to see if the help utilities were included but not installed by default (but I swear I looked through that thing when I installed it specifically for help utilities).
Not there :-S
Will report on how NDoc 2 is coming along...
Update: First run looks good. The HxS output format is still a bit confusing to me...will have to dig into that.