Helvetica renders as Arial on Windows OS

Windows substitutes Arial for Helvetica. (Specifically Helvetica; not Helvetica Neue.) A simple way to see this is to declare font-family: Helvetica, Courier. Browsers on Windows platforms then use Arial, not Courier (as they should).

This can be changed by editing Windows registry, but as a web author, you can’t do anything about it (apart from attempts at OS-sniffing via browser-sniffing). It is an old issue (dating back at least to Windows 3, I think), though not very widely known.

Windows doesn't have any of those fonts, but is smart enough to default to their sans-serif font, which is arial.

a web-safe alternative would be something like font-family: "Helvetica Neue", Helvetica, Arial, sans-serif;

as for using a webfont, fonts.com has Helvetica Neue 45 Light that you could embed.

Yes, the Windows registry in its default configuration substitutes Arial for Helvetica, and this substitution takes precedence over the font-stack fallback in every major browser except Opera. So most Windows users will see Arial instead of Helvetica unless Helvetica is preceded in the font stack by

1. a web font, or
2. an alternative font that is reliably present on Windows systems. In my Helvetica-like font stack, I suggest Google's "Arimo" web font. Among the standard Windows fonts, Microsoft Sans Serif is a good substitute for Helvetica for upright type, but intolerable for italic type.