Visual studio 2010 did not provide an installation interface as previous versions. So you cannot see the install MSDN prompt after the installation of the IDE.
Microsoft did provide a simple way of installing the documentation. Follow the instructions bellow, and have fun:
1. Open the Help Menu of visual studio 2010 and Click Manage Help Settings.
2. You would encounter one of two situations:
a) The Manager would ask you to specify your local storage path of documation if you run it at the first time.
b) When you finished selecting the path, you are in front of a menu list:
Chose install content from disk
3. The manager then asks you to locate the documentation
4. Select the path on visual studio’s CD (/ProductDocumentation, and it should contains HelpContentSetup.msha)
5. Press next and have fun!