As the W3C page says, the cursor means "help is available". Since it is contextual (it has to be, since it's directly attached to the mouse cursor and therefore is representational of whatever the cursor is pointing at), there are essentially two possibilities:
- The help is immediately shown along with the cursor (for example in the form of a tool tip), in which case it should be obvious and no action is necessary, or,
- Some action is necessary. Since the help icon is attached to the cursor, the only logical action should be a click (specifically a left-click), and the click should present help information about whatever the cursor is over.
That said, it's not a commonly-used interface anymore, and most UIs tend to embed the contextual help information into the interface from the beginning, or based on keyboard focus more than mouse focus, since modern touch interfaces don't work well with the idea of pointing at elements of the UI.
Another problem with this cursor is there is no agreed-upon interface to represent the other side of the equation: i.e. what things can be pointed at to get help. Some web pages will use a double-underline, but that only works for text and even then is hardly common enough to be considered a standard idiom.
I'll also just throw in that the behavior of clicking something that is showing this cursor should not navigate away from the current page, because the cursor is primarily an arrow and not a pointing hand. Thus it should not be used on links of any kind, even if the link is to a help page.