An exploit is a short code or script that uses a vulnerability to perform malicious actions.
The HTML.Mht exploit is embedded to HTML web pages. It attempts to download and install a malicious program on your computer by using a security vulnerability in Internet Explorer.
More information about this security vulnerability, including a fix, is available from Microsoft: http://www.microsoft.com/technet/security/bulletin/MS04-025.mspx
Allow F-Secure Anti-Virus to disinfect the relevant files.
For more general information on disinfection, please see Removal Instructions.