Although I installed MSDN CDs content in the same drive with Microsoft Visual Studio, when in VB 6.0 and trying to use F1 key, I get the message: "The MSDN collection does not exist. Please reinstall MSDN". When I access MSDN from the desktop icon, everything works fine.

isnt F1 universal for help?

Did you install the help files when you installed msdn ?

I followed exactly the instructions for installing MSDN from the CD1. I am not familiar with the way help files are installed and how they are accessed based on F1.

Have you tried installing MSDN again over the top of the current install?
OR
Re-installing VB6 over the top of the current install?