In my house I have a lot of moisture collecting on my walls and windows I have a high efficiency furnace and was wondering if a dehumidifier hooked up to the furnace would help?

You might have a larger problem that you think. Moisture can cause severe damage to a home. A dehumidifier can help with the situation but you better find the source of the problem and pronto. The longer you wait the more damage that will be done.

Warning. If your furnace is not vented properly or has a malfunction this situation can also happen. I would seek the advice of a ON SITE professional ASAP.