There has been changes in 3.7 distribution. SQLyog 3.7 now comes with a compiled .CHM help file (context sensitive help) due to which we have removed the HTML help file and its required images.
When you install 3.7 over an existing 3.x installation it will keep the original Personal Folder intact. If the personal folder is not present, SQLyog 3.7 will create the folder for the first time.
HTH