I'm sure scenes like this have been shot differently in different movies, but I have noticed that mostly the shots are faked.
One option is to have the helicopter on the ground, with the engine off and the propellers stationary. The actors are inside. The camera operator moves around outside the helicopter to make it look like it's up in the air. Often, the camera is tilted upwards, shooting the actors slightly from underneath, to give a sensation of them being above the camera / viewer. The grounded helicopter may also be mounted on a moving platform to tip, raise and lower the helicopter to give the actors inside the actual sensation of movement, so their bodies shift believably.
This can be shot outdoors, with actual sky in the background, or in front of a green screen, where fake sky and terrain is put in afterwards, along with a CGI propeller and reflections on the glass windshield.
Another approach would be to shoot the helicopter actually in flight, and overdub the actors' dialog afterwards. In most cases, this would be more difficult and expensive.