I guess the links are probably relative in the file (otherwise it wouldn’t work as soon as you copy it elsewhere), so part of the links you are showing aren’t really in the file itself. However, would be great if your MhtBuilder could do this!
As for Firefox: it doesn’t support MHT files natively, which strikes some people as funny because actually Thunderbird does. I’m not sure about the exact extent of the support, but it’s definitely possible to view MHT files attached to email directly in the mailer. I looked at this a while ago, but I believe I was able to find a bug tracking entry about this at the time.