No assembler "comes with" any documentation. First of all, they (for the most part, and certainly MASM, the one we all use here) are command-line programs, not Windows GUI programs. They're just .exe (executable) programs that do their thing (assemble/link your code), then exit back to the command processor.
What you need is a copy of the
MASM Programmer's Guide. It's available online (for example,
at this site); unfortunately, all I could find in a quick search was this copy, where each chapter is a separate PDF file, which is kind of a pain in the ass. But the entire manual is there if you download it (I printed out my copy years ago, as it's a
lot easier looking things up in a paper copy, believe it or not).
Oh, I guess when you say "mnemonic", you mean the processor opcodes. It's true that they're in the MASM editor's help file (I sometimes use that myself). But you might want to look at the
MASM Reference Guide (specifically,
Chapter 4, Processor). That explains all the microprocessor instructions (opcodes).
