MHTML is a Microsoft Hypertext format, that holds the entire webpage in one file (images, etc) like a Word file.
Though convenient in some cases, it is overkill. I would just save in the HTML format, since its more universal (some web-browsers have problems with MHTML)
Click File> Save> and click Save
I would not change the filename...
Images and any other needed information (eg: CSS documents, settings) will be saved in a separate folder.
If this solution does not work, please describe exactly why its not working.