It seems that IE7 beta 3 doesn't like to display MHTs at all. Sounds like a bug (or perhaps a security "feature").
In our tests, IE6 won't display an MHT with a # in the filename (which a couple of your samples had in their title, which caused UR to name the file with a #). The main download at
http://www.kinook.com/Download/UltraRecallProEval.exe has been updated with a fix for this issue (UltraRecall.exe v2.0.3.5).