.EHM
From Emperor's Hammer Encyclopaedia Imperia
.EHM stands for "Emperor's Hammer Mission" and is basically a renamed .ZIP file that usually includes a key file (.EHB)), one or more .TIE files and a readme.txt. The .EHM extension lets the Emperor's Hammer Battle Launcher (EHBL) recognize the file and install it automatically when (double)clicked.
Because newer Windows and Internet Explorer versions look inside a file instead of just at the extension, they may save an .EHM as ".EHM.ZIP" which will make EHBL not recognize it. You then need to rename the file yourself or download by right-clicking on the link and selecting save as. The difference is easily seen by the corresponding icon, as .EHM file icons have a TIE Fighter in them.