Vista - Probelem opening .htm files stored on my hard drive

I downloaded some files from Wikipedia to look at when I'm offline, but I'm getting an error message when I double-click on the file from within Windows Explorer. An error box appears to say:

Windows cannot find 'Drive/Directorey/filename.htm'. Make sure you typed the name correctly, and then try again.

But behind that box the file opens normally, with all pictures and other elements. The problem is that the error box does not go away by itself - I have to click 'OK' for that to happen.

I notice that this error box only appears when my browser (Firefox) is not running. When it is already open, the file opens normally. I have a lot of files like this, so it's a bit of a nuisance to keep having this error box appear every time.

Any help appreciated to sort out this inconvenience! Thank you