I had the same problem some months ago. Let's see if I remember what I did...
Definitely not ideal, but here's what I recall. I can access our Win2K server at work through Remote Desktop Connection and terminal services. I opened the .mht files in this way with IE and saved them as pdf files.
Tedious, time-consuming, and not exactly what you were hoping for, I know. But this was the only way (at the time) I could get it to work. I never looked on VersionTracker or asked a question here, so hopefully there's a more elegant solution.