In the sentences you gave, and in general usage as a conjunction, there is no difference. However, consider:- 1) using "whenever" as an intensive form of "when" in a question. ("Whenever will that dog stop barking?") 2) as a substitute for "at whatever time that" or "when". (Q. "When can we leave?" A."We can leave whenever you're ready".) In the examples above, "whenever" cannot be substituted by "every time".

First of all, it would be better to put an 'it' at the end of these sentences. So: Thank you for helping me every time I need it. Thank you for helping me whenever I need it. As for the difference, there isn't much difference in these examples. Every time can be a little bit more specific, or possibly to convey a little bit more impact. But for the most part the two are quite interchangeable in this context. Now in different contexts, these two can be quite different so be careful.