Why exactly must you use MHT?
Just save the web page itself, I think calibre will download the necessary remote resources when you import the HTML file.
If not, well, then you can do what you should have done in the first place. Even a lousy browser like Internet Explorer can still save as "Web Page, complete", which calibre can certainly handle fine and which you did not in fact do!
Instead you saved as a "Web Archive, Single File", which is a Microsoft-specific format and it is therefore completely unsurprising that calibre doesn't know how to handle it.
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calibre can import HTML files, and will automatically collect referenced resources and pack it into an HTMLZ ebook. You can have calibre set to auto-convert added books to another format -- e.g. EPUB.
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