KB Article: http://support.microsoft.com/kb/2547338

INTRODUCTION

Consider this scenario:

You are using an Office application (Microsoft Excel, Microsoft Word, Microsoft PowerPoint) and you insert a hyperlink to a MHT file on a file share. When you click the link to follow it, Internet Explorer starts, but the MHT file is not loaded. Instead you see an error:

The address is not valid.

Most likely causes:

  • There might be a typing error in the address.
  • If you clicked on a link, it may be out of date.