The most likely cause for the styles not being applied is that it can't find the stylesheet file. You might check to be sure that you included the stylesheet file in the project and that it is a content item. You need to make sure that the path
to the CSS file is correct too. If the the stylesheet is in the same folder as the HTML files, it should find it. If the stylesheet is in another folder, you will need to provider a proper relative path to the file:
If the stylesheet file is in a subfolder relative to the current folder in which the HTML files are stored:
<link rel="stylesheet" type="text/css" href="styles/MyStyles.css" />
If the stylesheet file is in a subfolder and the HTML files are in a different subfolder (i.e. html\CustomPage.html), you need to go up one level:
<link rel="stylesheet" type="text/css" href="../styles/MyStyles.css" />
If you are using the Sandcastle Help File Builder, build a website version of the project and see if the stylesheet is there and in the expected location.