It would be great if there was built in context sensitive help taken from MySQL manual. This exists somewhat in MySQL console itself with help command, and also in Workbench, but would be great to have such features in SQLyog.
This has been discussed before. We cannot do it for legal/license reasons. The MySQL manual is – unlike the code – even not GPL licensed or 'dual-licensed'. Any redistribution of a single comma (!) from the manual requires a commercial license. Oracle themselves don't have this problem obviously.