Answer
The ArcGIS Desktop Documentation Library is no longer available starting with the release of version 9.2. All ArcGIS documentation, including the content of the PDF manuals previously included in the Desktop Documentation Library, are now located in the ArcGIS 9.2 Desktop Help. The Desktop Help is installed by default with ArcGIS Desktop 9.2.
All ArcGIS 9.2 documentation can also be found in the web-based ArcGIS Desktop Help Online. See the link in the Related Information section below.