html file excel,Can't open mhtml files with Excel

Working with SAP, the export to Excel function creates a .mhtml file which I can't open in Excel 2010 SP1. (Running on Windows XP SP3)

The error message from Excel is the following:

"You need to have Microsoft Outlook Express installed to work with Single File Web Pages. Outlook Express is an optional component of Microsoft Internet Explorer 4.0 and later".

I tried at home where I have Excel 2007 and it works fine where I have Windows 7 and no outlook Express (obviously).

The error message is not helping. Can you?