That's odd. The obvious answer is that Help Center requires an Internet connection, but assuming that is not the problem then something else is going on.
In the meantime try this: http://www.apple.com/support/macbasics/tour/
Since your Mac is new, you could call AppleCare, who may talk you through some basic steps to determine what is wrong with Help Center. For example, clicking the text you are asking about should bring up this page:
Something is preventing that from occurring. It could simply be a temporary Internet anomaly but if it persists call AppleCare and make them work for you. 90 days of telephone support is included in the price of your Mac.