As far as I know, Windows does not come with Helvetica (or any member of its family), and if it is not an installed font, it will not work on the website.
Arial is considered Helvetica's egregious rupture (although it was based on Monotype Grotesque, it is considered an alternative to Helvetica), so Microsoft doesn't have to pay huge Haas Typefoundry licensing fees (creators and licensors of the Helvetica family)
My suggestion is to try webfonts with which you can actually embed fonts. Font Squirrel is a good place to start. (although keep in mind that investing in a Helvetica Neue without a license is technically a violation.)
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