Neutral helium microscopy, also referred to as scanning helium atom microscopy and commonly abbreviated SHeM, is a novel imaging technique that uses a beam of neutral helium atoms as an imaging probe. The technique offers a number of advantages such as the very low energy of the incident probing atoms (less than 0.1 eV), unsurpassed surface sensitivity (no penetration into the sample bulk), a charge neutral, inert probe and a high depth of field. This means that fragile and/or non-conducting samples can be imaged as well as samples with high aspect ratio, with the potential to obtain true to scale height information of 3D surface topography with nanometer resolution. However, for a full exploitation of the technique, a range of experimental and theoretical issues still needs to be resolved. In this paper we review the current state of research in the field. We do this by following the trajectory of the helium atoms step by step through the microscope. From the initial acceleration in the supersonic expansion used to generate the probing beam over the interaction of the helium atoms with the sample (contrast properties) to the final detection and post-processing. We also review recent advances in scanning helium microscope design and we present an overview of the samples that have been investigated with SHeM up till now.