That all looks normal.
If you check under System -> Preferences -> Sessions you should find that list (with other, friendlier, names) listed on the first tab called Startup Programs -- just in case there's another way for things to sneak on that list, check it out.
You could also try from here:
1. Closing the help center, then on 3rd tab of Sessions applet called Session Options, try using the Remember Currently-Running Applications setting.
2. If you can spot it in the 2nd tab (Current Session) you may be able to change the 'Style' of the app to Trash, though my luck in getting that to persist has been iffy, and you should make sure not to mess up the settings of other apps.
Look for things (app names, processes, etc.) that begin with or contain 'yelp' as that's the name of the software that hosts/opens the Help Center documents.