Can you describe your latest Generations CD please. Does it say "Broderbund" and "Windows XP" and "Genealogy.com" on the CD label? If yes, you have the latest Generations v8.5a. If not you do need to purchase v8.5a.
I am puzzled why you cannot access the Help menu if you are using v8.5a on Windows XP. It would make sense if you were using Vista (download the Microsoft patch so that old Help menus work on Vista), but not XP. I think that there is something weird going on with your computer.