Be sure to choose :entryname strings carefully.  Simple names like :Retry aren't very descriptive, and you'll run into problems when you create another "Retry" button.  The same help text would be displayed for both buttons.

Remember, filename:entryname is the title displayed in the InstantHelp window for the world to see, so choose an appropriate title!

default :entryname
In many programs, you don't need to assign help string names.  When help is requested on a grid and GuiDesigner finds an empty help string, it synthesizes one by prefixing ":" to the gridName property.  For example, if a GridName is "CancelButton", the synthesized :entryname is ":CancelButton".

As long as you name your grids intelligently, which is very important anyway, you need not assign help strings to grids.  Only where this proves inadequate are explicit help strings necessary.  Make sure you don't give the same grid name to two or more grids!

multiple HelpFiles
Most programs assign "filename:entryname" help strings to their grids because it's easy and absolutely prevents confusion.  Some programs assign ":entryname" help strings to their grids to support "personalized" help text stored in multiple helpfiles.

Not so much to support:
  CARL.HLP - help for Carl
  MARY.HLP - help for Mary
  FRED.HLP - help for Fred
  BILL.HLP - help for Bill

More likely to support:
  EXPERT.HLP - help for advanced users
  NORMAL.HLP - help for typical users
  NOVICE.HLP - help for beginners

Or perhaps to support:
  MARKET.HLP - help for marketing wizards
  ENGINE.HLP - help for engineer wizards
  BOSSES.HLP - help for administrators

set HelpFile
Programs can call XuiHelp() to establish a specific HelpFile as follows:

XuiHelp (grid, #SetHelpFile, 0, 0, 0, 0, 0, @" helpfile .hlp")

XuiHelp() accepts any valid grid number to set the HelpFile.  Programs that support multiple HelpFiles can let users select their own category of help from pull down menus or radio buttons.