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: https://www.microsoft.com/technet/security/bulletin/MS04-025.mspx
Depending on the settings of your F-Secure security product, it will either automatically delete, quarantine or rename the suspect file, or ask you for a desired action.
More information on the scanning and removal options available in your F-Secure product can be found in the Help Center.
You may also refer to the Knowledge Base on the F-Secure Community site for more information.