HelpProvider Class in Windows form has a method SetHelpString()... This method will associate a string that you provide with the control specified... This help will be shown when the user presses F1 while the control has focus...
Private objhelpProvider As System.Windows.Forms.HelpProvider
Me.objhelpProvider.SetHelpString(Me.txtZipCode, "Just enter the first 5 digits for Zip code, this applies to US only...")