Web sites don't have help systems or other forms of documentation. Suppose standard Windows programs didn't have Help or documentation. You could compensate by putting detailed instructions in the user interface itself, as in the case of displaying the Printers folder using Windows Explorer in the View As Web Page mode.
Of course, you don't need to use an HTML page to give in-place help. Wizards routinely provide in-place help, although this is much less common in dialog boxes. A good example of a dialog box that does give in-place help is the Windows Explorer Organize Favorites dialog box.
Notice that the in-place help doesn't have to be long or complicated. In this case, two short sentences do the job.