There are posts elsewhere that go through the whole rigamarole (for example, this post from Don Gill, SQL Server's Group Content Publishing Manager). I just wanted to highlight the key bullet points:
Note that you can still choose whether to use local or online help (see the following dialog, also available from the Manage Help Settings tool referenced above):
As a side note, keep in mind that "local" now really means web-based (but not Internet-based). When you launch Books Online and your preference is set to local, you will go to a URL on localhost (127.0.0.1) on an arbitrary port number (kind of like how the development web server in Visual Studio works). Don't worry, you don't need to install IIS or the web server role in order for this feature to work.
If Books Online is still not working for you, I'd love to hear about it, and hope I can help you resolve the issue!
EDIT: two bugs you should be aware of:
The moral here: don't install SQL Server Books Online on a cluster that isn't going to stay the way it is. BOL doesn't currently have the ability to adapt to new nodes that are added after the feature is installed, so depending on the active node, you may or may not be able to access local help. My suggestion is to not bother installing Books Online on a cluster in the first place – put it on your workstations, test machines, etc.
There is an issue that occurs if you don't install Books Online when first installing Denali, but then decide to install it later. On one machine so far, this has left Books Online completely crippled. So if you haven't installed Denali yet and you think there is any chance you may want BOL later (unless you are on a cluster), make sure to check the box.
This second problem was fixed with a repair. Launch Denali setup, and on the Maintenance tab, choose Repair. When you get to the Select Instance screen, choose <<Repair shared features only>> from the dropdown:
Note that the dialog you get when you launch Books Online for the first time is not worded very well. Does "Yes" mean I am choosing to view content online, or does "Yes" mean I am going to launch a tool that is going to allow me to choose between online and local, or something else?
It turns out this is setting the preference to view content online. You can change it later by going to Manage Help Settings as illustrated above. If you use local help, even after all of this, you may still end up with a 404 error ("The requested topic cannot be found in the local Help content.") I hope that these issues will be sorted out by the time the next CTP rolls around; in the meantime, just use the online version of Books Online.