ATTENTION
All 9 Links in the "Starting Off" section of the online tutorial are down, resulting in a 404. Probably best this is looked into, seeing as it's maybe rather important.
The ones on this page are working for me: http://www.adventuregamestudio.co.uk/acintro.htm
Perhaps you are following old links, like the person in this thread (http://www.adventuregamestudio.co.uk/yabb/index.php?topic=40738.0)?
I don't think it's an old link, the entire manual is online at http://www.adventuregamestudio.co.uk/manual
Clicking on the tutorial links there leads to the 404 however, while the rest of the manual is fine (although slightly out of date, iirc).
Doesn't really matter though, just press F1 in AGS or open the ags-help.chm file in the main folder.