You would import the folder containing the HTML files. We did this and found that it requires some tweaking afterwards, since the help file software generates all files in the root folder. After importing, I rearranged the topics in the Data Explorer tree to match the help file. Extract
http://www.kinook.com/Download/Misc/URManual.zip and open _UltraRecall.urd to view the help file imported into UR (use the UR tree instead of the HTML contents to navigate and annotate).