I've got the same problem, in both Word and Excel, and it's only a recent thing. Googling it returns a load of unrelated info about Outlook issues, and the registry settings mentioned there seem to be fine.
I can open html files from windows explorer and the open fine in Firefox (my default browser).
Tried setting my browser default back to IE, made no difference.
Trying to access the contact us, check for upgrades, etc buttons within Word also gives the same error.
I tried turning off real time protection in MS Security Essentials, again no difference.
It looks like a registry issue specific to the MS office products.
(Word 2007, Vista SP1, MS security Essentials)