There are several malformed or just wrong places in the sandcastle example blog, here are the correct steps

Copy this as a CMD file into the same folder as test.cs, and then run it from the Visual Studio 2005 Command Prompt

@REM Corrected Sandcastle Example Build -- Stuart W -- Blitzkrieg Software
@REM Be in the right place
c:
cd "C:\Program Files\Sandcastle\Examples\Sandcastle"
@REM Correct Path
set path=%path%;"c:\Program Files\HTML Help Workshop"
@REM Get 
copy "C:\Program Files\Sandcastle\Presentation\Configuration\sandcastle.config" .
csc /t:library /doc:comments.xml test.cs

@rem this was wrong
MRefBuilder TEST.dll /out:reflection.org

@REM do the transformations
XslTransform ..\..\ProductionTransforms\AddOverloads.xsl reflection.org | XslTransform ..\..\ProductionTransforms\AddGuidFilenames.xsl /out:reflection.xml
XslTransform ..\..\ProductionTransforms\ReflectionToManifest.xsl  reflection.xml /out:manifest.xml
call ..\copyOutput.bat
BuildAssembler /config:sandcastle.config manifest.xml
XslTransform ..\..\ProductionTransforms\ReflectionToChmContents.xsl reflection.xml /arg:html=Output\html /out:test.hhc
move test.hhc output
copy "C:\Program Files\Sandcastle\Presentation\Chm\test.hhp" output
cd \Program Files\Sandcastle\Examples\Sandcastle\Output 
@REM run the help compilor
hhc test.hhp
@REM show the help file
start test.chm